OPTIONS ON FUTURES CONTRACTS - A COMPARISON OF EUROPEAN AND AMERICAN PRICING-MODELS

被引：6

作者：

SHASTRI, K ^{[1
]}

TANDON, K ^{[1
]}

机构：

[1] GEORGIA INST TECHNOL,SCH BUSINESS,ATLANTA,GA 30332

来源：

关键词：

D O I：

10.1002/fut.3990060407

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：593 / 618

页数：26

共 9 条

BECKERS, S .

[2] PRICING OF COMMODITY CONTRACTS [J].

BLACK, F .

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

BLACK, F ;

SCHOLES, M .

[4]

BRENNER M, 1984, 4 AMEX OPT C

[5]

FIGLEWSKI S, 1983, OPTION PRICING, P223

[6] THE AMERICAN PUT OPTION VALUED ANALYTICALLY [J].

GESKE, R ;

JOHNSON, HE .

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

MERTON, RC .

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

[8]

SHASTRI K, 1985, 5 AMEX OPT C

WOLF, A .