The Structure Models for Futures Options Pricing and Related Researches

Feng Dai (), Yajun Sun and Songtao Wu

The Icfai Journal of Applied Economics, 2008, vol. VII, issue 3, pages 61-76

Abstract: Based on the structure model of option pricing (Dai and Qin, 2005) and partial distribution (Dai, 2001), this paper designs a new kind of expression of futures price. It presents the structure pricing model for American futures options on underlying non-dividend-paying stocks, and provides three put-call parities between American call and put option on spots, call and put option on futures, and spot options and futures options. These are different from the current put-call parity on European options. The paper also proves analytically that an American call option on futures must be worth more than the corresponding American call option on spot and an American put option on futures must be worth less than the corresponding American put option on spot in a normal market; and the opposite holds true in an inverted market.

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Working Paper: The Structure Models for Futures Options Pricing and Related Researches (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Access Statistics for this article

More articles in The Icfai Journal of Applied Economics from ICFAI Press
Series data maintained by Prof. Venkata Seshaih ().