Valuation of Futures Options with Initial Margin Requirements and Daily Price Limit  

作　　者：Juan LI Yan Ling GU 

机构地区：[1]School of Mathematics and Statistics, Shandong University at Weihai, Weihai 264209, P. R. China [2]Treasury Department, China Everbright Bank, Beijing 100045, P. R. China

出　　处：《Acta Mathematica Sinica,English Series》2010年第3期579-586,共8页数学学报（英文版）

基　　金：Supported by National Natural Science Foundation of China (Grant Nos. 10701050, 10426022);Shandong Province (Grant No. Q2007A04), Postdoctoral Science Foundation of Shanghai (Grant No. 06R214121) ;National Basic Research Program of China (973 Program) (Grant No. 2007CB814904)

摘　　要：The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.

关 键 词：valuation of futures option initial margin requirements daily price limit backward stochastic differential equations 

分 类 号：O173.1[理学—数学] F275[理学—基础数学]