Under standard perfect market assumptions, the cost-of-carry formula can be applied to calculate the value of a pure (futures-style margining) European futures option at time t with maturity at T [Duffie (1989, p. 285); Lieu (1990, p. 332)l: where EC and EP are conventional European futures option
β¦ LIBER β¦
On the Upper Bound of a Call Option
β Scribed by John C. Handley
- Book ID
- 106514029
- Publisher
- Springer US
- Year
- 2005
- Tongue
- English
- Weight
- 157 KB
- Volume
- 8
- Category
- Article
- ISSN
- 1380-6645
No coin nor oath required. For personal study only.
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