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Exact Solutions for Futures and European Futures Options on Pure Discount Bonds

Published online by Cambridge University Press:  06 April 2009

Ren-Raw Chen
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Abstract

This paper provides closed form solutions for futures and European futures options on pure discount bonds under the Ornstein-Uhlenbeck (normal) process. A significant difference between Black's model (1976) and the model in this paper for futures options is discussed.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 27 , Issue 1 , March 1992 , pp. 97 - 107
Copyright
Copyright © School of Business Administration, University of Washington 1992

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