Pricing interest rate futures options with futures-style margining
- 1 February 1993
- journal article
- research article
- Published by Wiley in Journal of Futures Markets
- Vol. 13 (1) , 15-22
- https://doi.org/10.1002/fut.3990130103
Abstract
No abstract availableThis publication has 7 references indexed in Scilit:
- Option pricing with futures‐style marginingJournal of Futures Markets, 1990
- An Exact Bond Option FormulaThe Journal of Finance, 1989
- A Theory of the Term Structure of Interest RatesEconometrica, 1985
- An Intertemporal General Equilibrium Model of Asset PricesEconometrica, 1985
- The relation between forward prices and futures pricesJournal of Financial Economics, 1981
- The pricing of commodity contractsJournal of Financial Economics, 1976
- The Pricing of Options and Corporate LiabilitiesJournal of Political Economy, 1973