Understanding the “Fairness” of FTSE Index Option Pricing
Document ID: 2003-343 (previously 2003/004)
Published on: 31st March 2003
Author: John Hibbert
We review briefly US academic research which analyses the "fairness" of pricing of US equity index options by comparing option-implied volatility with "true" delivered price volatility. We then present analysis of the fairness of pricing of FTSE index option contracts.
