Relationships between American puts and calls on futures contracts

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dc.contributor.authorByun, Suk Joonko
dc.contributor.authorKim, In Joonko
dc.date.accessioned2008-07-25T01:16:08Z-
dc.date.available2008-07-25T01:16:08Z-
dc.date.created2012-02-06-
dc.date.created2012-02-06-
dc.date.issued2000-12-
dc.identifier.citationJOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS, v.4, no.2, pp.11 - 20-
dc.identifier.issn1226-9433-
dc.identifier.urihttp://hdl.handle.net/10203/6471-
dc.description.abstractThis paper presents a formula that relates the optimal exercise boundaries of American call and put options on futures contract. It is shown that the geometric mean of the optimal exercise boundaries for call and put written on the same futures contract with the same exercise price is equal to the exercise price which is time invariant. The paper also investigates the properties of American calls and puts on futures contract.-
dc.languageKorean-
dc.language.isoen_USen
dc.publisher한국산업응용수학회-
dc.titleRelationships between American puts and calls on futures contracts-
dc.typeArticle-
dc.type.rimsART-
dc.citation.volume4-
dc.citation.issue2-
dc.citation.beginningpage11-
dc.citation.endingpage20-
dc.citation.publicationnameJOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorByun, Suk Joon-
dc.contributor.localauthorKim, In Joon-
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MT-Journal Papers(저널논문)RIMS Journal Papers
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