Factor Models for Option Pricing

被引：0
|
作者：
Carr, Peter [1 ]
Madan, Dilip [2 ]
机构：
[1] NYU, Courant Inst Math Sci, Dept Math, New York, NY 10012 USA
[2] Univ Maryland, Robert H Smith Sch Business, Van Munching Hall, College Pk, MD 20742 USA
来源：
ASIA-PACIFIC FINANCIAL MARKETS | 2012年 / 19卷 / 04期
关键词：
Variance gamma; Characteristic functions; Index options;
D O I：
10.1007/s10690-011-9151-7
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Options on stocks are priced using information on index options and viewing stocks in a factor model as indirectly holding index risk. The method is particularly suited to developing quotations on stock options when these markets are relatively illiquid and one has a liquid index options market to judge the index risk. The pricing strategy is illustrated on IBM and Sony options viewed as holding SPX and Nikkei risk respectively.
引用
收藏
页码：319 / 329
页数：11
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