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

Ren Raw Chen*

*此作品的通信作者

研究成果: 期刊稿件文章同行評審

12 引文 斯高帕斯(Scopus)

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
頁(從 - 到)97-107
頁數11
期刊Journal of Financial and Quantitative Analysis
27
發行號1
DOIs
出版狀態已出版 - 03 1992
對外發佈

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