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
The Effects of Changing Margin Levels on Futures Options Price
โ Scribed by Yanling Gu; Juan Li
- Book ID
- 107346973
- Publisher
- Academy of Mathematics and Systems Science, Chinese Academy of Sciences
- Year
- 2006
- Tongue
- English
- Weight
- 189 KB
- Volume
- 19
- Category
- Article
- ISSN
- 1009-6124
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
where c is the price of a European call option on the underlying futures
## Abstract This study revisits the empirical estimation of the effect of margin requirements on trading volume. Although theory suggests that margin requirements impose a cost to traders and will therefore likely reduce volume traded, empirical examinations have generally failed to find this assoc
ndividuals trading in futures markets are required to post security deposits, I called margins, to insure that brokers and exchanges are potected from nonperformance due to unfavorable price movements. Specified in dollar amounts per contract, margins may be posted in either cash or interest-bearing