EXACT-SOLUTIONS FOR FUTURES AND EUROPEAN FUTURES OPTIONS ON PURE DISCOUNT BONDS

被引：6

作者：

CHEN, RR

机构：

[1] School of Business, Rutgers University, Janice H. Levin Building, New Brunswick. NJ 08903., Rockafeller Road

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1992年 / 27卷 / 01期

关键词：

D O I：

10.2307/2331300

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This paper provides closed form solutions for futures and European futures options on pure discount bonds under the Ornstein-Uhlenbeck (normal) process. A significant difference between Black's model (1976) and the model in this paper for futures options is discussed.

引用

收藏

页码：97 / 107

页数：11

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