This research is supported by Brock's internal funds for the first and fourth authors and NSERC (Canada) as well as IFM2 (Quebec) for the corresponding author. We would like to thank Don M. Chance and the JFM's anonymous referee for their comments and suggestions. They helped us to improve our paper.
A Stochastic Dynamic Program for Valuing Options on Futures
Article first published online: 23 OCT 2013
© 2013 Wiley Periodicals, Inc.
Journal of Futures Markets
Volume 34, Issue 12, pages 1185–1201, December 2014
How to Cite
Ayadi, M. A., Ben-Ameur, H., Kirillov, T. and Welch, R. (2014), A Stochastic Dynamic Program for Valuing Options on Futures. J. Fut. Mark., 34: 1185–1201. doi: 10.1002/fut.21645
- Issue published online: 27 OCT 2014
- Article first published online: 23 OCT 2013
- Manuscript Accepted: 17 SEP 2013
- Manuscript Received: 20 JAN 2013
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