A Stochastic Dynamic Program for Valuing Options on Futures-Reference-Cited by-同舟云学术

A Stochastic Dynamic Program for Valuing Options on Futures

Published:2013-10-23 Issue:12 Volume:34 Page:1185-1201
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J. Fut. Mark.

Author:

Ayadi Mohamed A.¹,Ben-Ameur Hatem²,Kirillov Tymur³,Welch Robert¹

Affiliation:

1. Mohamed A. Ayadi is an associate professor and Robert Welch is a professor, both at the Goodman School of Business at Brock University; St. Catharines Ontario Canada

2. Hatem Ben-Ameur is an associate professor at the department of management sciences at HEC Montréal and a member of GERAD; Montreal Quebec Canada

3. Tymur Kirillov is an independent consultant to CIBC; Toronto Ontario Canada

Funder

IFM2 - Quebec

NSERC - Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference24 articles.

1. A dynamic programming procedure for pricing American-style Asian options;Ben-Ameur;Management Science,2002

2. Bertsekas , D. P. 1987

3. The pricing of commodity contracts;Black;Journal of Financial Economics,1976

4. Options on the spot and options on futures;Brenner;The Journal of Finance,1985

5. Options on stock indices and options on futures;Brenner;Journal of Banking & Finance,1989

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2. B: Financial Instruments and Markets;World Banking Abstracts;2015-03-02