INV SUPERIOR JUBILADO
TARZIA Domingo Alberto
congresos y reuniones científicas
Título:
Constraints to Rational Futures-Style Option Premiums
Autor/es:
R. OVIEDO - D. A. TARZIA
Lugar:
Rosario
Reunión:
Congreso; II MACI 2009 - II Congreso de Matemática Aplicada, Computacional e Industrial; 2009
Institución organizadora:
Asociación Argentina de Matemática Aplicada, Computacional e Industrial, MACI, 2 (2009), pp 101-104.
Resumen:
Many options on futures are subject to futures-style premium posting: the premium is not paid up front but marked to market, and the last settlement premium paid upon exercise. The previous literature has derived pricing models for such options. Only after that derivation, and using the resulting model or its assumptions, has it deducted pricing constraints like a put-call parity or the positivity of time value. We show the full generality of many rational option-pricing constraints
