Options of futures: Pricing and the effe
โ
Avner Wolf
๐
Article
๐
1984
๐
John Wiley and Sons
๐
English
โ 938 KB
Pricing and the Effect of an ## Anticipated Price Change Avner Wolf is article commodity examines theoretical aspects of Black's (1976) pricing formula of r options and the effect on the option's premium of an anticipated future drift in the futures price. In the first part, we derive the formula