EXACT-SOLUTIONS FOR FUTURES AND EUROPEAN FUTURES OPTIONS ON PURE DISCOUNT BONDS

被引：6
|
作者：
CHEN, RR
机构：
[1] School of Business, Rutgers University, Janice H. Levin Building, New Brunswick. NJ 08903., Rockafeller Road
来源：
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1992年 / 27卷 / 01期
关键词：
D O I：
10.2307/2331300
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper provides closed form solutions for futures and European futures options on pure discount bonds under the Ornstein-Uhlenbeck (normal) process. A significant difference between Black's model (1976) and the model in this paper for futures options is discussed.
引用
收藏
页码：97 / 107
页数：11
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