Advanced Search
MyIDEAS: Login

The Structure Models for Futures Options Pricing and Related Researches

Contents:

Author Info

  • Feng Dai
  • Yajun Sun
  • Songtao Wu
Registered author(s):

Abstract

Based on the structure model of option pricing (Dai and Qin, 2005) and partial distribution (Dai, 2001), this paper designs a new kind of expression of futures price. It presents the structure pricing model for American futures options on underlying non-dividend-paying stocks, and provides three put-call parities between American call and put option on spots, call and put option on futures, and spot options and futures options. These are different from the current put-call parity on European options.The paper also proves analytically that an American call option on futures must be worth more than the corresponding American call option on spot and an American put option on futures must be worth less than the corresponding American put option on spot in a normal market; and the opposite holds true in an inverted market.

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by IUP Publications in its journal The IUP Journal of Applied Economics.

Volume (Year): VII (2008)
Issue (Month): 3 (May)
Pages: 61-76

as in new window
Handle: RePEc:icf:icfjae:v:07:y:2008:i:3:p:61-76

Contact details of provider:

Related research

Keywords:

Other versions of this item:

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Peter Ritchken & Rob Trevor, 1999. "Pricing Options under Generalized GARCH and Stochastic Volatility Processes," Journal of Finance, American Finance Association, vol. 54(1), pages 377-402, 02.
  2. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  3. Feng Dai & Zifu Qin, 2004. "Df Structure Models For Options Pricing," Finance 0403005, EconWPA.
  4. Geske, Robert & Roll, Richard, 1984. " On Valuing American Call Options with the Black-Scholes European Formula," Journal of Finance, American Finance Association, vol. 39(2), pages 443-55, June.
  5. Miltersen, Kristian R. & Schwartz, Eduardo S., 1998. "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 33(01), pages 33-59, March.
  6. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
Full references (including those not matched with items on IDEAS)

Citations

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

Cited by:
  1. Feng Dai & Lin Liang, 2005. "The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management," Econometrics 0508001, EconWPA.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:icf:icfjae:v:07:y:2008:i:3:p:61-76. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (G R K Murty).

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.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 profile, as there may be some citations waiting for confirmation.

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