This chapter derives a simple options pricing formula that will be used in evaluating bond futures and, for swaptions and bond options. It analyzes historical cheapness/richness of bond, note, and 5-year futures in the US.doi:10.1002/9781119014157.ch14Saied Simozar...
the Greeksoption pricing formulamarket forecasthedgerstradersoption valuesmarket conditionsdoi:10.1002/9781119204497.ch7Bittman, James B.Bittman, J. B. (2008). Trading & hedging with agricultural futures and options. Columbia, MD: Marketplace Books, Inc...
This chapter derives a simple options pricing formula that will be used in evaluating bond futures and, for swaptions and bond options. It analyzes historical cheapness/richness of bond, note, and 5-year futures in the US. 展开 关键词:...
A Simple Formula for Options on Discount Bonds 1991. "Random Variance Option Pricing: Empirical Tests of the Model and Delta-Sigma Hedging." Advances in Futures and Options Research, vol. 5: 113-... RJ Brenner,RA Jarrow 被引量: 20发表: 1993年 ...
Introduction of Futures and Options on a Stock Index and Their Impact on the Trading Volume and Volatility: Empirical Evidence from the DJIA Components The evolving nature of intraday price discovery in the Chinese CSI 300 index futures market ...
STIR Futures & Options: Overview and Examples of in Options By Gordon Scott Dec 13, 2021 Variable Price Limit: What It is, How It Works By Jason Fernando Apr 26, 2022 Forward Delivery: What it Means, How it Works, Example By Cory Mitchell ...
the underlying asset if the buyer so desires byexercisingthat option.1That means the option on a futures contract, or futures option, is aderivativesecurity of a derivative security. But the pricing and contract specifications of these options does not necessarily add leverage on top of leverage....
began to take shape.Because of the prosperity of option trading and the wide application of B-S option pricing formula in the capital market, and the management of stock borrowing and lending behavior based on options, short selling has been further developed.In addition, on the supply side, ...
When you understand the calculation of the spot VIX you can start to derive futures and options on it. TheSpot VIXis the real-time calculation of the VIX based on the expected volatility of S&P 500 index options with more than 23 days and less than 37 days until expiration. You can draw...
all of the option-pricing formulas discussed in this chapter are quite similar. The similarity can be seen from the Black-Scholes formula for a call option, which we can write as follows (replacing d1 by x and d2 by y): e−qTS(0)N(x)− e−rTK N(y) , () where x = log...