The Valuation of Options on Futures Contracts

• 1 December 1985
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 40  (5) , 1319-1340
• https://doi.org/10.2307/2328115

Abstract

Keywords

• FUTURES CONTRACTS
• POLICY
• OPTIONS ON FUTURES
• EXERCISE
• STOCHASTIC
• INTEREST RATE
• OPTIMAL
• NUMERICAL METHODS