The Structure Models for Futures Options Pricing and Related Researches
AbstractBased 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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Bibliographic InfoPaper provided by EconWPA in its series International Finance with number 0503010.
Length: 10 pages
Date of creation: 31 Mar 2005
Date of revision:
Note: Type of Document - pdf; pages: 10. the reference (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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structure pricing; American options on futures; non-dividend- paying; analytic formula; put-call parity;
Other versions of this item:
- Feng Dai & Yajun Sun & Songtao Wu, 2008. "The Structure Models for Futures Options Pricing and Related Researches," The IUP Journal of Applied Economics, IUP Publications, vol. 0(3), pages 61-76, May.
- F3 - International Economics - - International Finance
- F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2005-04-16 (All new papers)
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.:
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787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
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- Feng Dai & Zifu Qin, 2004.
"Df Structure Models For Options Pricing,"
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- 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.
- Feng Dai & Lin Liang, 2005. "The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management," Econometrics 0508001, EconWPA.
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