Practical Option Valuations of Futures Contracts with Negative Underlying Prices

Anatoliy Swishchuk, Ana Roldan-Contreras, Elham Soufiani, Guillermo Martinez, Mohsen Seifi, Nishant Agrawal and Yao Yao

Papers from arXiv.org

Abstract: Here we propose two alternatives to Black 76 to value European option future contracts in which the underlying market prices can be negative or mean reverting. The two proposed models are Ornstein-Uhlenbeck (OU) and continuous time GARCH (generalized autoregressive conditionally heteroscedastic). We then analyse the values and compare them with Black 76, the most commonly used model, when the underlying market prices are positive

Date: 2020-09
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://arxiv.org/pdf/2009.12350 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2009.12350

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().