𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Futures options with futures-style margining in the Gaussian models setting

✍ Scribed by Iovino, Maria Gabriella


Book ID
110626613
Publisher
Springer
Year
1997
Weight
827 KB
Volume
20
Category
Article
ISSN
1127-1035

No coin nor oath required. For personal study only.


πŸ“œ SIMILAR VOLUMES


Pricing interest rate futures options wi
✍ Ren-Raw Chen; Louis Scott πŸ“‚ Article πŸ“… 1993 πŸ› John Wiley and Sons 🌐 English βš– 426 KB

which follow diffusion processes are assumed and the instantaneous interest rate, r Cy,), and the spot price, Sot,) are determined. One of the state variables may be a spot price. lIf the option is American, it can be exercised on or before the expiration date. If the option is European, it can be e

Option pricing with futures-style margin
✍ Derming Lieu πŸ“‚ Article πŸ“… 1990 πŸ› John Wiley and Sons 🌐 English βš– 690 KB

he Chicago Mercantile Exchange and the Chicago Board of Trade are petitioning T the Commodity Futures Trading Commission (CFTC) to repeal a long-standing regulation requiring an investor to pay the total value of an option premium when purchasing a commodity option. Under the current "stock-style" o

Pricing Eurodollar Futures Options with
✍ Nusret Cakici; Jintao Zhu πŸ“‚ Article πŸ“… 2001 πŸ› John Wiley and Sons 🌐 English βš– 176 KB

## Abstract This article uses the algorithm developed by Ritchken and Sankarasubramanian (1995) to make comparisons among the Heathβ€”Jarrowβ€”Morton (HJM) models (Heath, Jarrow, & Morton, 1992) with different volatility structures in pricing the Eurodollar futures options. We show that the differences

Pricing Eurodollar futures options with
✍ Mathis, Roswell E.; Bierwag, Gerald O. πŸ“‚ Article πŸ“… 1999 πŸ› John Wiley and Sons 🌐 English βš– 198 KB πŸ‘ 2 views

Ho and Lee (1986) and Black, Derman, and Toy (1990) discrete-time debt option pricing models in the pricing of Eurodollar futures options over the period from March 1997 through February 1998 using daily data. The results indicate that both models performed well. The average absolute pricing errors