ms·1985년 10월 1일
Options on Commodity Forward Contracts
Management Science
4
피인용
0.0
FWCI
0
IS/마케팅/OM 탑저널 피인용
0
IS/마케팅/OM 탑저널 참고문헌
- 주제옵션 가격 결정 · 의사결정분석
01Abstract
We develop formulas for “European” options on commodity forward contracts. The assumptions and derivations are simple. The qualitative behavior of the formulas is developed for an intuitive overview. The put formula and related ideas were applied to successfully manage a quarter billion dollar hedge of GNMA futures versus standbys.
02연구 흐름
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03비슷한 논문
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04이후 연구
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05선행 연구
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06서지 정보
- 저널Management Science · 31(10) · 1232–1236
- 토픽Capital Investment and Risk Analysis · Finance
- DOI10.1287/mnsc.31.10.1232
- 저자Edward O. Thorp