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Remark on repo and options

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  • Andrei Kapaev

Abstract

The general and special repo rates are related with the prices of the European call- and American put-options. The evaluation takes into account specific business models of the parties in the repo agreement and the law restrictions. Using the repo-option relation, an alternative to the Black-Scholes method of option pricing is presented. The empirical data on the general and special repo rates are explained.

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  • Andrei Kapaev, 2013. "Remark on repo and options," Papers 1311.5211, arXiv.org.
    • Handle: RePEc:arx:papers:1311.5211
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