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 language | English |
|---|---|
| Pages (from-to) | 97-107 |
| Number of pages | 11 |
| Journal | Journal of Financial and Quantitative Analysis |
| Volume | 27 |
| Issue number | 1 |
| DOIs | |
| State | Published - 03 1992 |
| Externally published | Yes |