The Pricing of Futures and Options Contracts on the Value Line Index

• 1 September 1986
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 41  (4) , 843-855
• https://doi.org/10.2307/2328232

Abstract

Keywords

• STOCKS
• CALL OPTION
• VALUE LINE INDEX
• OPTIONS AND FUTURES
• VLCI
• GEOMETRIC AVERAGING
• PRICING OF FUTURES
• PRICING OF OPTIONS