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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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