Relationships between American puts and calls on futures contracts
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Byun, Suk Joon | ko |
| dc.contributor.author | Kim, In Joon | ko |
| dc.date.accessioned | 2008-07-25T01:16:08Z | - |
| dc.date.available | 2008-07-25T01:16:08Z | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.created | 2012-02-06 | - |
| dc.date.issued | 2000-12 | - |
| dc.identifier.citation | JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS, v.4, no.2, pp.11 - 20 | - |
| dc.identifier.issn | 1226-9433 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/6471 | - |
| dc.description.abstract | This 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.language | Korean | - |
| dc.language.iso | en_US | en |
| dc.publisher | 한국산업응용수학회 | - |
| dc.title | Relationships between American puts and calls on futures contracts | - |
| dc.type | Article | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 4 | - |
| dc.citation.issue | 2 | - |
| dc.citation.beginningpage | 11 | - |
| dc.citation.endingpage | 20 | - |
| dc.citation.publicationname | JOURNAL OF THE KOREAN SOCIETY FOR INDUSTRIAL AND APPLIED MATHEMATICS | - |
| dc.embargo.liftdate | 9999-12-31 | - |
| dc.embargo.terms | 9999-12-31 | - |
| dc.contributor.localauthor | Byun, Suk Joon | - |
| dc.contributor.localauthor | Kim, In Joon | - |
- Appears in Collection
- MT-Journal Papers(저널논문)RIMS Journal Papers
- Files in This Item
Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.