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

1 March 1992

journal article
Published by JSTOR in Journal of Financial and Quantitative Analysis

Vol. 27 (1) , 97
https://doi.org/10.2307/2331300

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.

Keywords

EXACT SOLUTIONS
EUROPEAN FUTURES
DISCOUNT BONDS
PURE DISCOUNT
FUTURES OPTIONS
SOLUTIONS FOR FUTURES

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