Exotic Options – Index Options

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

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