European options on bond futures: a closed form solution

Article Abstract:

A closed form solution model is presented for European call option prices for bond futures contracts. Endogenously priced bond and futures contracts are employed in the model and stochastic instantaneous variance for the underlying interest rate is allowed. Results indicate the possibility of recursive determination of components of bond futures prices. Frictionless competitive markets are assumed.

Security and commodity exchanges, Financial futures, Bonds, Bonds (Securities)

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The Valuation of Options with Restrictions on Preferences and Distributions

Article Abstract:

This paper obtains new option-pricing results based on the hypotheses of a representative agent having either an extended power utility of, or a negative exponential utility function of, consumption, aggregate consumption and underlying variables.

United Kingdom, Statistical Data Included, Financial contingencies

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Closed-forum pricing formulas with extreme events

Article Abstract:

The effects of extreme events on the jump-diffusion pricing model are investigated. Closed-form solutions for calls and puts which generate smiles and skews similar to those observed in the market are derived.

United States, Science & research, Pricing Policy, Research, Options (Finance), Pricing, Product price, Report

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