P
Procrastinator
Member
Hi,
Could someone help me with this query please?
If I'm using the Black Scholes model to price an option on a Total Return Index, should S(t) refer to the Total Return Index value or the Price Index? My real question is if there is no Total Return Index, do I need to adjust the Price Index for dividend yield to use as my S(t) or should the Price Index be used?
I've tried doing a quick research on this on the web, but no satisfying responses so far. Any takers please?
Thanks
Could someone help me with this query please?
If I'm using the Black Scholes model to price an option on a Total Return Index, should S(t) refer to the Total Return Index value or the Price Index? My real question is if there is no Total Return Index, do I need to adjust the Price Index for dividend yield to use as my S(t) or should the Price Index be used?
I've tried doing a quick research on this on the web, but no satisfying responses so far. Any takers please?
Thanks