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The Structure Models for Futures Options Pricing and Related Researches

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Author Info

  • Feng Dai

    (Zhengzhou Information Engineering University)

  • Dongkai Zhai

    (Zhengzhou Information Engineering University)

  • Zifu Qin

    (Zhengzhou Information Engineering University)

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Abstract

Based on the structure model of option pricing (Feng DAI, 2005) and the Partial Distribution (Feng DAI, 2001), this paper designs a new kind of expression of futures price, presents the structure pricing model for American futures options on underlying non-dividend-paying, and gives three put-call parities between American call and put option on spots, call and put option on futures, and spot options and futures options, they are different from put-call parity of European options. We prove 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 normal market; and the oppositions in inverted market. The final empirical researches also support the conclusions in this paper.

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File URL: http://128.118.178.162/eps/if/papers/0503/0503010.pdf
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Bibliographic Info

Paper provided by EconWPA in its series International Finance with number 0503010.

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Length: 10 pages
Date of creation: 31 Mar 2005
Date of revision:
Handle: RePEc:wpa:wuwpif:0503010

Note: Type of Document - pdf; pages: 10. the reference [10](F. Dai, Z. F. QIN. DF Structure Models for Options Pricing. International Journal of Applied Economics. 2005, accepted) is similar to the paper in this EWP database
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Web page: http://128.118.178.162

Related research

Keywords: structure pricing; American options on futures; non-dividend- paying; analytic formula; put-call parity;

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References

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  1. Feng Dai & Zifu Qin, 2004. "Df Structure Models For Options Pricing," Finance 0403005, EconWPA.
  2. 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.
  3. 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.
  4. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
  5. 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.
  6. 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.
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Cited by:
  1. Feng Dai & Lin Liang, 2005. "The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management," Econometrics 0508001, EconWPA.

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