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Pricing the SPI Futures Call Option Contract using the Asay Model

Bowman, Chakriya


This paper examines the relative pricing performance of the Asay (1986) futures option pricing model on the All Ordinaries Share Price Index Futures Call Option contract over the period January 1993-September 1995. A dataset of 8,092 matched tick-by-tick transactions in SPI future options is examined, and the Asay model is used to generate pricing estimates for the options. This theoretically derived data is then compared against the real price data, and pricing anomalies are observed. Pricing...[Show more]

CollectionsANU Research Publications
Date published: 2000
Type: Working/Technical Paper


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