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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://129.3.20.41/eps/if/papers/0503/0503010.pdf
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Publisher Info
Paper provided by EconWPA in its series International Finance with number 0503010.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
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://129.3.20.41

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

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Find related papers by JEL classification:
F3 - International Economics - - International Finance
F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

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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.:
  1. 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. [Downloadable!] (restricted)
  2. DAI & Feng QIN & Zifu, 2005. "DF Structure Models for Options Pricing," Icfai University Journal of Applied Economics, Icfai Press, vol. 0(6), pages 61-77, November.
    Other versions:
  3. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144. [Downloadable!] (restricted)
    Other versions:
  4. 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. [Downloadable!] (restricted)
  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. [Downloadable!] (restricted)
Full references

Cited by:
(explanations, 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.)

  1. Feng Dai & Lin Liang, 2005. "The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management," Econometrics 0508001, EconWPA. [Downloadable!]
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