File Name: Exotic Options – Index Options
Location: Modeling Toolkit | Exotic Options | Index Options
Brief Description: Solves Index options using the Black-Scholes model
Requirements: Modeling Toolkit
Modeling Toolkit Functions Used: MTStockIndexCallOption, MTStockIndexPutOption, MTGeneralizedBlackScholesCall, MTGeneralizedBlackScholesPut
The Index Option is similar to a regular plain vanilla option, but the underlying asset is not a stock but a reference stock index such as the Standard & Poor’s 500 (Figure 57.1). The analysis can be solved using a Generalized Black-Scholes-Merton model as well.
Figure 57.1: Index options