摘要
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.
原文 | 英語 |
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頁(從 - 到) | 97-107 |
頁數 | 11 |
期刊 | Journal of Financial and Quantitative Analysis |
卷 | 27 |
發行號 | 1 |
DOIs | |
出版狀態 | 已出版 - 03 1992 |
對外發佈 | 是 |