THE EFFECTS OF CHANGING MARGIN LEVELS ON FUTURES OPTIONS PRICE
THE EFFECTS OF CHANGING MARGIN LEVELS ON FUTURES OPTIONS PRICE
摘要
The paper studies the effects of changing margin levels on the price of fixtures options and how to organize a market maker's position.Black model(1976)becomes a special case of this paper.The paper prices futures options by duplicating them and adopting the theory of Backward Stochastic Differential Equations(BSDEs for short),Furthermore,the price of a futures option is the unique solution to a nonlinear BSDE.
基金
This research is supported by Postdoctoral Science Foundation of Shanghai under Grant No.04R214206
Natural Science Foundation of ChiHa under Grallt No.10426022
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