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Futures options with futures-style margining in the Gaussian models setting

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  • Maria Iovino

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  • Maria Iovino, 1997. "Futures options with futures-style margining in the Gaussian models setting," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 20(1), pages 3-21, June.
    • Handle: RePEc:spr:decfin:v:20:y:1997:i:1:p:3-21
    DOI: 10.1007/BF02688986
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    References listed on IDEAS

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    1. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    2. Ho, Thomas S Y & Lee, Sang-bin, 1986. "Term Structure Movements and Pricing Interest Rate Contingent Claims," Journal of Finance, American Finance Association, vol. 41(5), pages 1011-1029, December.
    3. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
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