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ArticleOption pricing with futures‐style margining

Unknown author1990

Article1990

Option pricing with futures‐style margining

Unknown author

56 citations·0/0 files stored·Journal of Futures Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Risk Management in Financial Firms

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References

1973The Pricing of Options and Corporate Liabilities 1973Theory of Rational Option Pricing 1979Martingales and arbitrage in multiperiod securities markets 1976The pricing of commodity contracts 1976Option pricing 1986Valuation of American Futures Options: Theory and Empirical Tests

Cited by

1996Valuing foreign exchange rate derivatives with a bounded exchange process 1993Pricing interest rate futures options with futures‐style margining 2004Improving Option Pricing With the Product Constrained Hybrid Neural Network 1994Upper bounds for american futures options: A note 2007Implied risk-neutral probability density functions from option prices 2012The Information Content of Model‐Free Implied Volatility 2014Interest rate forecasts, state price densities and risk premium from Euribor options 2012PRICING AND HEDGING SHORT STERLING OPTIONS USING NEURAL NETWORKS

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Details

Year1990

Typearticle

Published1990-08-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations56

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1002/fut.3990100402

openalex_workW2003297709

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