The Structure Models for Futures Options Pricing and Related Researches

Feng Dai (), Dongkai Zhai and Zifu Qin
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Dongkai Zhai: Zhengzhou Information Engineering University
Zifu Qin: Zhengzhou Information Engineering University

International Finance from EconWPA

Abstract: Based on the structure model of option pricing (Feng DAI, 2005) and the Partial Distribution (Feng DAI, 2001), this paper designs a new kind of expression of futures price, presents the structure pricing model for American futures options on underlying non-dividend-paying, and gives three put-call parities between American call and put option on spots, call and put option on futures, and spot options and futures options, they are different from put-call parity of European options. We prove 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 normal market; and the oppositions in inverted market. The final empirical researches also support the conclusions in this paper.

Keywords: structure pricing; American options on futures; non-dividend- paying; analytic formula; put-call parity (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 2005-03-31
Note: Type of Document - pdf; pages: 10. the reference [10](F. Dai, Z. F. QIN. DF Structure Models for Options Pricing. International Journal of Applied Economics. 2005, accepted) is similar to the paper in this EWP database
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Journal Article: The Structure Models for Futures Options Pricing and Related Researches (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpif:0503010

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