Izvorni znanstveni članak
https://doi.org/10.17535/crorr.2024.0004
On the American style futures contracts
Tsvetelin Zaevski
orcid.org/0000-0002-1118-4189
; Institute of Mathematics and Informatics, Bulgarian Academy of Science
Sažetak
There is a large number of sources devoted to the American style options. On the other hand, the American futures contracts are understudied in the scientific literature. This motivated us to examine these instruments in comparison to the relevant options. Their optimal boundaries are obtained and a finite difference scheme is applied to the pricing problem. We consider separately the long and short positions.
Ključne riječi
American futures contracts; American options; optimal boundaries; pricing
Hrčak ID:
317482
URI
Datum izdavanja:
27.5.2024.
Posjeta: 0 *