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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

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
Copyright
Copyright © School of Business Administration, University of Washington 1992

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