書誌事項
- タイトル別名
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- Pricing of Stock Index Options and Their Correlation Analysis
- カブカ シスウ オプション ノ カカク ヒョウカ ト ソウカン ブンセキ
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抄録
In this paper, we discuss the pricing of stock index options. Under a generalized assumption that the underlying individual stock price which is an element of the stock index follows a semi-martingale process with correrlation, we derive the partial differential equation which the corresponding European stock index option prices satisfy. More precisely, we calculate the respective equilibrium prices for the value line index (VLI) option and the average stock index (ASI) option analytically and numerically. Finally, we perform the sensitivity analysis of model parameters in the option prices and the position analysis. Throughout numerical examples, it is shown quantitatively that the correlation for underlying assets is one of the most important factors to price stock index options.
収録刊行物
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- システム制御情報学会論文誌
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システム制御情報学会論文誌 12 (7), 379-389, 1999
一般社団法人 システム制御情報学会
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詳細情報 詳細情報について
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- CRID
- 1390001205165559040
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- NII論文ID
- 10004335563
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- NII書誌ID
- AN1013280X
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- ISSN
- 2185811X
- 13425668
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- NDL書誌ID
- 4771724
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- データソース種別
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- JaLC
- NDL
- Crossref
- CiNii Articles
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- 抄録ライセンスフラグ
- 使用不可
