| Case Title |
A Note on Option Pricing |
| Case Author(s) |
Sipra N
|
| University |
Lahore University of Management Sciences, Pakistan (LUMS) |
| Abstract |
The note is an introduction to financial options. It defines call and put options and discusses the payoff diagrams for them. It describes two methods to value European options on non-dividend paying stocks- Binomial method and Black and Scholes method. It then develops the put-call parity relationship to value puts. Finally, as an example, a Pakistani term-finance certificate with warrants is valued using Black and Scholes methodology. |
| Available In |
LUMS Case Research Centre Collection |
| Publisher |
LUMS |
| Publisher Case No. |
02-584-2002-2 |
| Distributor(s) |
LUMS
|
| Pub/Rev Date |
2003 |
| ISBN |
|
| Case Length |
14 pgs |
| Teaching Note |
No |
| Pub TN Ref No. |
|
| Pages (TN) |
|
| Issues |
Option payoff diagrams, binomial and Black-Scholes pricing of calls and puts, put call parity |
| Organisation(s) |
|
| Countries |
Pakistan |
| Industry |
Financial Services |
| Period Covered |
|
| Level |
Postgraduate |
| Links of Interest |
|
| Back |