Pricing of index options under a minimal market model with log-normal scaling

Authors: David Heath ^a; Eckhard Platen ^a

Affiliation:

^a School of Finance and Economics, Department of Mathematical Sciences, University of Technology Sydney, Broadway, NSW, Australia

DOI: 10.1088/1469-7688/3/6/303

Publication Frequency: 8 issues per year

Published in: journal

Quantitative Finance, Volume 3, Issue 6 December 2003 , pages 442 - 450

Subjects: Applied Mathematics; Business Mathematics; Finance & Accounting; Financial Mathematics;

Formats available: PDF (English)

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