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Supershare Options

The price of a Supershare option, introduced by Hakansson (1976) can be found by:

where

,

where

w = European price of option

S = Spot price of underling asset

XL = Lower strike limit

XH = Upper strike limit

b = cost of carry

T = Time to maturity

= Volatility of underling asset

N = Cumulative normal distribution function

 

See Also

oX_Supershare( ) Function

oX_Supershare_Imp( ) Function

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