PRICING AND HEDGING CAPPED OPTIONS

被引：13

作者：

BOYLE, PP

TURNBULL, SM

机构：

[1] UNIV TORONTO,ECON & FINANCE,TORONTO M5S 1A1,ONTARIO,CANADA

[2] AUSTRALIAN GRAD SCH MANAGEMENT,KENSINGTON,AUSTRALIA

来源：

JOURNAL OF FUTURES MARKETS | 1989年 / 9卷 / 01期

关键词：

D O I：

10.1002/fut.3990090105

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：41 / 54

页数：14

共 10 条

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DYBVIG, PH .

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[2] THE PRICING OF OPTIONS ON DEFAULT-FREE BONDS [J].

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[3] A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

ECONOMETRICA, 1985, 53 (02) :385-407

[4]

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[5]

GRABBE JO, 1983, J INT MONEY FINANC, V2, P239

[6]

MELINO A, 1987, ESTIMATION PARAMETER

[7]

MELINO A, 1987, PRICING FOREIGN CURR

[8] THEORY OF RATIONAL OPTION PRICING [J].

MERTON, RC .

BELL JOURNAL OF ECONOMICS, 1973, 4 (01) :141-183

[9]

*STAND OIL CO, 1986, PROSP S

[10]

STOLL H, 1986, FUTURES MARKETS THEI

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