THE VALUATION OF OPTIONS ON FUTURES CONTRACTS

被引：72

作者：

RAMASWAMY, K ^{[1
]}

SUNDARESAN, SM ^{[1
]}

机构：

[1] COLUMBIA UNIV,GRAD SCH BUSINESS,NEW YORK,NY 10027

来源：

JOURNAL OF FINANCE | 1985年 / 40卷 / 05期

关键词：

D O I：

10.2307/2328115

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：1319 / 1340

页数：22

共 17 条

[1] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :167-179

[2] PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].

BLACK, F ;

SCHOLES, M .

JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654

[3] FUTURES MARKETS AND COMMODITY OPTIONS - HEDGING AND OPTIMALITY IN INCOMPLETE MARKETS [J].

BREEDEN, DT .

JOURNAL OF ECONOMIC THEORY, 1984, 32 (02) :275-300

[4]

BRENNAN MJ, 1980, MONOGRAPH SERIES FIN

[5] FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS [J].

CORNELL, B ;

REINGANUM, MR .

JOURNAL OF FINANCE, 1981, 36 (05) :1035-1045

[6]

COURTADON G, 1983, OPTIONS DEFAULT FREE

[7]

Cox J.C., 1985, OPTIONS MARKETS

[8]

COX JC, 1981, J FINANC, V36, P769

[9] THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (04) :321-346

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

COX, JC ;

INGERSOLL, JE ;

ROSS, SA .

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

← 1 2 →