Pricing of Australian Options on FuturesShimeld, SFFinance
Options on futures traded in Europe, Australia and South Africa are subject to futures-style premium posting (FSPP): the premium is not paid up front but markedoi:10.2139/ssrn.1469552Oviedo, RodolfoTarzia, Domingo ASocial Science Electronic Publishing...
Option pricing is generally based on theBlack-Scholes modelwhich uses several inputs and is notoriously difficult for the average investor to understand.3 Which Is Riskier, Futures or Options? A lot can depend on your risk tolerance but futures are generally riskier than options. A futures contra...
PriceandvalueofforwardandfuturescontractsRelationshipbetweenforwardandfuturespricesDeterminationofthespotpriceofanassetCostofcarrymodelfortheoreticalfairpriceContango,backwardation,andconvenienceyieldFuturespricesandriskpremiumsFuturesspreadpricingPricingoptionsonfutures SOMEPROPERTIESOFFORWARDAND...
The Pricing of Futures and Options Contracts on the Value Line Index This paper considers the problems peculiar to the Value Line Index, because of its use of geometric averaging, as regards the pricing of options and futures on that index. The Value Line Composite Index (VLCI) is an equally...
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....
Back pricing effective time pricing: producers usually use the LME settlement price as the benchmark and the daily settlement price is valid until noon the following day. Also known as Known the (Pricing on pricing)Backwardation spot Premium: the spot price is higher than the futures price (...
Longstaff (1996): Valuing Futures and Options on Volatility, Journal of Banking and Finance 20, 985-1001. Hamisultane H. (2007): Utility-based Pricing... RJ Elliott,TK Siu - 《Applied Mathematical Finance》 被引量: 135发表: 2007年 A Unified Method for Pricing Options on Diffusion Processes...
Pricing:For futures options and futures contracts traded on the FuturesPlus platform, $1.50 per contract, per side. There may be overnight, regulatory, and exchange costs. #11) Generic Trade Best forinvestors who do not have the financial resources to make use of the best features provided by...
October 1987 vividly demonstrated the impact of stock index futures; options are important investment tools, and swaps play a key role in the structuring and pricing of new bond issues, as well as having investment applications in their own right. The discussion in this chapter is necessarily ...