Recently, several stock index futures exchanges have experimented with an altered contract design in order to make the contract more attractive and to increase investor accessibility. In 1998, the Swedish futures exchange (OM) split the OMX-index futures contract with a factor 4:1, without...

Recently, the Swedish options and futures exchange (OM) launched some regulatory changes in the design of the OMX index options market. The redesign constituted two alterations in the option contract specifications; a coarser strike price interval for the index options, and a 4:1 split affecting...

This study compares the performances of neural network and Black-Scholes models in pricing BIST30 (Borsa Istanbul) index call and put options with different volatility forecasting approaches. Since the volatility is the key parameter in pricing options, GARCH (Generalized Autoregressive...