Exact Solutions for Futures and European Futures Options on Pure Discount Bonds

Ren-Raw Chen

Journal of Financial and Quantitative Analysis, 1992, vol. 27, issue 1, 97-107

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.

Date: 1992
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