IDEAS home Printed from https://ideas.repec.org/a/cup/jfinqa/v27y1992i01p97-107_00.html
   My bibliography  Save this article

Exact Solutions for Futures and European Futures Options on Pure Discount Bonds

Author

Listed:
  • Chen, Ren-Raw

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.

Suggested Citation

  • Chen, Ren-Raw, 1992. "Exact Solutions for Futures and European Futures Options on Pure Discount Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(1), pages 97-107, March.
    • Handle: RePEc:cup:jfinqa:v:27:y:1992:i:01:p:97-107_00
    as

    Download full text from publisher

    File URL: https://www.cambridge.org/core/product/identifier/S0022109000007924/type/journal_article
    File Function: link to article abstract page
    Download Restriction: no
    ---><---

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Stephen E. Satchell & Richard C. Stapleton & Marti G. Subrahmanyam, 1997. "The Pricing of Marked†to†Market Contingent Claims in a No†Arbitrage Economy," Australian Journal of Management, Australian School of Business, vol. 22(1), pages 1-20, June.
    2. Tse, Y. K., 1995. "Some international evidence on the stochastic behavior of interest rates," Journal of International Money and Finance, Elsevier, vol. 14(5), pages 721-738, October.
    3. Jens H. E. Christensen & Glenn D. Rudebusch, 2015. "Estimating Shadow-Rate Term Structure Models with Near-Zero Yields," Journal of Financial Econometrics, Oxford University Press, vol. 13(2), pages 226-259.
    4. Isabelle Bajeux-Besnainou & Roland Portait, 1998. "Pricing stock and bond derivatives with a multi-factor Gaussian model," Applied Mathematical Finance, Taylor & Francis Journals, vol. 5(3-4), pages 207-225.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cup:jfinqa:v:27:y:1992:i:01:p:97-107_00. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Kirk Stebbing (email available below). General contact details of provider: https://www.cambridge.org/jfq .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.