PL EN


2005 | 52 | 2 | 130-143
Article title

Indexed options based on the underlying price

Authors
Title variants
Languages of publication
HU
Abstracts
EN
Indexed options are ones that can only be exercised at a profit if the yield of the stock concerned exceeds the yield of a certain index. The article shows that structures published so far, in which the call option is indexed to the exercise price of the instrument, does not filter out all index risk. A proposal is made for a new type of indexed option, indexed to the price of the underlying product, so that all index risk is eliminated. The valuation relations of these options are provided and it is shown that they can be used not only for executive remuneration, but in stock-market trading as well.
Year
Volume
52
Issue
2
Pages
130-143
Physical description
Document type
ARTICLE
Contributors
author
  • M. Radnai, no address given, contact the journal editor
References
Document Type
Publication order reference
Identifiers
CEJSH db identifier
07HUAAAA02956023
YADDA identifier
bwmeta1.element.31169db1-a7db-315c-b42b-cdca8a8d9345
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