Journal of Financial and Quantitative Analysis Vol. 27 No. 1 1992
Exact Solutions for Futures and European Futures Options on Pure Discount Bonds
Abstract
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.
- DOI
- 10.2307/2331300
- Volume
- 27
- Issue
- 1
- Pages
- 97
- Sources
- crossref openalex