The pricing of over-the-counter options

Quarterly Bulletin 1995 Q4
Published on 01 December 1995

By Shelley Cooper and Stephanie Weston of the Bank’s Banking Supervisory Policy Division.

Earlier this year, the Bank carried out a survey of firms involved in trading over-the-counter options to investigate how they price and manage the risk associated with the instruments, and to assess the extent of differences in their approaches. This article explains the background to that survey, and outlines its main results.

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