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Upper bounds for american futures options: A note
7 references·2 citing·31 second hop
Upper bounds for american futures options: A note (1994)Upper bounds for american futures options…Pricing interest rate futures options with futures‐style margining (1993)Pricing interest rate futures…Option pricing with futures‐style margining (1990)Option pricing with futures‐s…Efficient Analytic Approximation of American Option Values (1987)Efficient Analytic Approximat…Futures Options and the Volatility of Futures Prices (1986)Futures Options and the Volat…The Valuation of Options on Futures Contracts (1985)The Valuation of Options on F…The pricing of commodity contracts (1976)The pricing of commodity cont…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…FOMC Forward Guidance and Investor Beliefs (2015)FOMC Forward Guidance and Inv…Analytical Upper Bounds for American Option Prices (2002)Analytical Upper Bounds for A…The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Valuing foreign exchange rate derivatives with a bounded exchange process (1996)Improving Option Pricing With the Product Constrained Hybrid Neural Network (2004)The Crash of ʼ87: Was It Expected? The Evidence from Options Markets (1991)Real Options and Interactions with Financial Flexibility (1993)Option Pricing Under a Double Exponential Jump Diffusion Model (2004)Theory of rational option pricing (2005)A Theory of the Term Structure of Interest Rates (1985)Reading PIBOR futures options smiles: The 1997 snap election (2001)Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB (2004)What moves option-implied bond market expectations? (2005)An equilibrium characterization of the term structure (1977)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Do Actions Speak Louder Than Words? The Response of Asset Prices to Monetary Policy Actions and Statements (2004)International Journal of Central Banking (2012)Macroeconomic Effects of Federal Reserve Forward Guidance (2012)Understanding the Aspects of Federal Reserve Forward Guidance (2018)Unconventional monetary policies: A stock-taking exercise (2020)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Pricing Interest-Rate-Derivative Securities (1990)A Jump-Diffusion Model for Option Pricing (2002)An Empirical Investigation of the Market for Comex Gold Futures Options (1987)The Factors Behind Put‐Call Parity Violations of S&P 100 Index Options (1996)Real‐Time Pricing and Hedging of Options on Currency Futures with Artificial Neural Networks (2014)Dividends and S&P 100 index option valuation (1992)Forecasting volatility in commodity markets (1995)Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options (1996)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)
this work references cited by second hop

References

  • 1973Theory of Rational Option Pricing8,060 cited
  • 1976The pricing of commodity contracts2,859 cited
  • 1987Efficient Analytic Approximation of American Option Values1,128 cited
  • 1985The Valuation of Options on Futures Contracts143 cited
  • 1990Option pricing with futures‐style margining56 cited
  • 1993Pricing interest rate futures options with futures‐style margining49 cited
  • 1986Futures Options and the Volatility of Futures Prices37 cited

Cited by

  • 2002Analytical Upper Bounds for American Option Prices22 cited
  • 2015FOMC Forward Guidance and Investor Beliefs14 cited

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