Exact Solutions for Futures and European Futures Options on Pure Discount Bonds

Ren Raw Chen*

*Corresponding author for this work

Research output: Contribution to journalJournal Article peer-review

12 Scopus citations

Abstract

This paper provides closed form solutions for futures and European futures options on pure discount bonds under the Omstein-Uhlenbeck (normal) process. A significant difference between Black's model (1976) and the model in this paper for futures options is discussed.

Original languageEnglish
Pages (from-to)97-107
Number of pages11
JournalJournal of Financial and Quantitative Analysis
Volume27
Issue number1
DOIs
StatePublished - 03 1992
Externally publishedYes

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