The Value of Wildcard Options
提出一种简单方法为通配符期权定价，并用该方法估算了标普100指数期权合约中嵌入的通配符期权序列，发现其价值占期权总值的显著部分。
ABSTRACT Wildcard options are embedded in many derivative contracts. They arise when the settlement price of the contract is established before the time at which the wildcard option holder must declare his intention to make or accept delivery and the exercise of the wildcard option closes out the underlying asset position. This paper provides a simple method for valuing wildcard options and illustrates the technique by valuing the sequence of wildcard options embedded in the S&P 100 index (OEX) option contract. The results show that wildcard options can account for an economically significant fraction of OEX option value.