The volatility structure implied by options on the SPI futures contract

The Asay (1982) option pricing model prices options on futures contracts where the premia are margined. The model assumes that the volatility of the underlying futures contract is constant over the life of the option. However it is an empirical observation in many markets that options on the same un...

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Veröffentlicht in:	Australian journal of management 1999-12, Vol.24 (2), p.115-130
1. Verfasser:	Brown, Christine A.
Format:	Artikel
Sprache:	eng
Schlagworte:	Asay model Asymmetry Datasets Evaluation Futures Hedging (Finance) Interest rates Options Prices and rates Put & call options Securities markets Securities prices Shares Stochastic models Stock exchanges Stock market crashes Stock options Stock price indexes Volatility
Online-Zugang:	Volltext
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