THE EFFECTS OF CHANGING MARGIN LEVELS ON FUTURES OPTIONS PRICE  

作　　者：Yanling GU School of Economics,Fudan University,Shanghai 200433 Post Doctoral of Program of Shanghai Futures Exchange,Shanghai 200122,China.Email:[e-mail] LI Department of Mathematics,Fudan University,Shanghai 200433 Department of Mathematics,Shandong Uni- 

出　　处：《Journal of Systems Science & Complexity》2006年第4期461-469,共9页系统科学与复杂性学报（英文版）

基　　金：This research is supported by Postdoctoral Science Foundation of Shanghai under Grant No.04R214206;Natural Science Foundation of ChiHa under Grallt No.10426022

摘　　要：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.

关 键 词：Backward stochastic differential equations futures options margin. 

分 类 号：O211[理学—概率论与数理统计]