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

Ren Raw Chen

doi:10.2307/2331300

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

Ren Raw Chen^*

^*此作品的通信作者

Rutgers Business School—Newark and New Brunswick

研究成果: 期刊稿件 › 文章 › 同行評審

14 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
卷	27
發行號	1
DOIs	https://doi.org/10.2307/2331300
出版狀態	已出版 - 03 1992
對外發佈	是

存取文件

10.2307/2331300

其它文件與鏈接

Link to publication in Scopus

引用此

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