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The Valuation of Options on Futures Contracts

11 references·16 citing·34 second hop

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References

1973The Pricing of Options and Corporate Liabilities29,064 cited
1985A Theory of the Term Structure of Interest Rates8,333 cited
1973Theory of Rational Option Pricing8,060 cited
2005Theory of rational option pricing7,161 cited
1976The pricing of commodity contracts2,859 cited
1977Asset returns and inflation2,701 cited
1983Foreign currency option values1,078 cited
1981The relation between forward prices and futures prices740 cited
1981A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates588 cited
1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
1983A comparison of futures and forward prices164 cited

Cited by

1996Dollar jump fears, 1984–1992: distributional abnormalities implicit in currency futures options136 cited
1995Forecasting volatility in commodity markets126 cited
1992Dividends and S&P 100 index option valuation116 cited
1989The Pricing of Stock Index Options in a General Equilibrium Model110 cited
1990

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Calibration of Option‐Based Probability Assessments in Agricultural Commodity Markets

94 cited

1994Options on futures spreads: Hedging, speculation, and valuation86 cited

1995Discrete-Time Valuation of American Options with Stochastic Interest Rates81 cited

1992Pricing continuously resettled contingent claims69 cited

1991General Equilibrium Stock Index Futures Prices: Theory and Empirical Evidence65 cited

1985Options on the Spot and Options on Futures64 cited

1992Arbitrage and price behavior of the Nikkei stock index futures55 cited

1989The market for japanese stock index futures: Some preliminary evidence54 cited

1996Estimation of risk-neutral and statistical densities by Hermite polynomial approximation: with an application to Eurodollar futures options49 cited

1993The European Exchange Rate Mechanism and the Volatility of the Sterling- Deutschemark Exchange Rate44 cited

1986Futures Options and the Volatility of Futures Prices37 cited

1993The valuation of options on coupon bonds34 cited