Valuation of futures options with initial margin requirements and daily price limit

DOI10.1007/s10114-010-7275-8zbMath1200.91291OpenAlexW2000666219MaRDI QIDQ2269620

Juan Li, Yan Ling Gu

Publication date: 17 March 2010

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-010-7275-8

zbMATH Keywords

backward stochastic differential equationsdaily price limitinitial margin requirementsvaluation of future option

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

Existence and uniqueness of stochastic differential equations with random impulses and Markovian switching under non-Lipschitz conditions

Cites Work

• Unnamed Item
• The Pricing of Options and Corporate Liabilities
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• A comonotonic theorem for BSDEs
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• Valuation of European options in the market with daily price limit