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Results tagged with european-options
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user 13397
An option that can be exercised only at expiration.
1
vote
1
answer
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Dividend yield on ASX 200 (XJO) index options
I'm trying to understand how to calculate the price and Greeks of XJO options.
XJO options are European, the underlying is an index and they don't pay a dividend. However the underlying drops when di …
- 219
1
vote
Accepted
Dividend yield on ASX 200 (XJO) index options
Here is an answer from the ASX for anyone interested:
You might want to consider using the Black 76 model.
https://en.wikipedia.org/wiki/Black_model
XJO options are over the XJO index however the ma …
- 219