共查询到20条相似文献，搜索用时 15 毫秒
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Richard Deaves 《期货市场杂志》1990,10(2):197-200
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A closed‐form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multifactor and D. Heath, R. Jarrow, and A. Morton (1992) Gaussian framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of M. Curran (1994) and L. Rogers and Z. Shi (1995), or via a rank 1 approximation, following A. Brace and M. Musiela (1994). Monte Carlo simulations show that both approximations are extremely accurate and easy to calculate. Application of the proposed pricing model to the EUREX market from January 2000 through May 2004, yields an excellent fit and an insignificant estimate of the quality option magnitude. On average, this delivery option accounts for only of the futures prices. © 2007 Wiley Periodicals, Inc. Jrl Fut Mark 27:275–303, 2007 相似文献
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Peter Carayannopoulos 《期货市场杂志》1995,15(8):861-879
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