On the American style futures contracts

被引：0
|
作者：
Zaevski, Tsvetelin S. [1 ,2 ]
机构：
[1] Bulgarian Acad Sci, Inst Math & Informat, Sofia, Bulgaria
[2] Sofia Univ St Kliment Ohridski, Fac Math & Informat, Sofia, Bulgaria
来源：
CROATIAN OPERATIONAL RESEARCH REVIEW | 2024年 / 15卷 / 01期
关键词：
American futures contracts; American options; optimal boundaries; pricing; CALL OPTIONS; VALUATION;
D O I：
10.17535/crorr.2024.0004
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
There is a large number of sources devoted to the American style options. On the other hand, the American futures contracts are understudied in the scientific literature. This motivated us to examine these instruments in comparison to the relevant options. Their optimal boundaries are obtained and a finite difference scheme is applied to the pricing problem. We consider separately the long and short positions.
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页码：39 / 50
页数：12
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