Introduction to Expected Value Options on the S&P 500 Index

How can one measure the value of a stock option on the S&P 500 Index and the associated risk of making the investment?
Paul Glasserman  | Fall 2010
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This case discusses a probabilistic method of valuing stock options on the S&P 500 Index. These options allow investors to speculate on, or hedge against, movements in a broad index of the market rather than an individual stock. In this case, students will be introduced to methodologies which aid in measuring the value of an option (i.e., the expected payoff) and the associated risk (i.e., the standard deviation).

Case ID: 090207

This case is used in core curriculum

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