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Pricing interest rate futures options with futures-style margining

✍ Scribed by Ren-Raw Chen; Louis Scott

Publisher: John Wiley and Sons
Year: 1993
Tongue: English
Weight: 426 KB
Volume: 13
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990130103

No coin nor oath required. For personal study only.

✦ Synopsis

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 exercised on the expiration date only.

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