Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）,...Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.展开更多
The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unl...The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.展开更多
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 futu...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.展开更多
Fund gap control, as an important and major managerial technique, has been widely used in western commercial banks （CBs）. Good management on fund gap can not only avoid interest rate （IR） risk, but also bring bene...Fund gap control, as an important and major managerial technique, has been widely used in western commercial banks （CBs）. Good management on fund gap can not only avoid interest rate （IR） risk, but also bring benefits to CBs. This paper discusses three substantive derivative tools that can be used to control fund gap, that is, interest rate futures, interest rate options and interest rate swap.展开更多
基金Project supported by the Key Project of Shanghai Municipal Commission of Science and Technology(Grant No.03JC14050)
文摘Under the Heath-Jarrow-Morton （HJM） framework, this paper studies the pricing models of three European foreign zero-coupon bond futures options （i.e., European options written on foreign zero-coupon bond futures）, and gives closed-form expression for the arbitrage price of the options by applying the forward martingale measure. These three options are： （1） foreign bond futures options struck in foreign currency; （2） foreign bond futures options struck in domestic currency; （3） fixed exchange rate fnreign bond futures option.
基金Supported by National Natural Science Foundation of China (Grant Nos. 10701050, 10426022)Shandong Province (Grant No. Q2007A04), Postdoctoral Science Foundation of Shanghai (Grant No. 06R214121) National Basic Research Program of China (973 Program) (Grant No. 2007CB814904)
文摘The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.
基金This research is supported by Postdoctoral Science Foundation of Shanghai under Grant No.04R214206Natural Science Foundation of ChiHa under Grallt No.10426022
文摘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.
文摘Fund gap control, as an important and major managerial technique, has been widely used in western commercial banks （CBs）. Good management on fund gap can not only avoid interest rate （IR） risk, but also bring benefits to CBs. This paper discusses three substantive derivative tools that can be used to control fund gap, that is, interest rate futures, interest rate options and interest rate swap.
