The Wharton School, University of Pennsylvania and Graduate School of Business, Columbia University, respectively. We thank Mark B. Garman, M. Barry Goldman, and the referee for helpful comments, and In Joon Kim for comments and extensive computational assistance. We also thank the participants in the finance seminars at Duke University, New York University, Northwestern, M.I.T., and Wharton for their comments. The Center for the Study of Futures Markets at Columbia University supported this research.
The Valuation of Options on Futures Contracts
Article first published online: 30 APR 2012
1985 The American Finance Association
The Journal of Finance
Volume 40, Issue 5, pages 1319–1340, December 1985
How to Cite
RAMASWAMY, K. and SUNDARESAN, S. M. (1985), The Valuation of Options on Futures Contracts. The Journal of Finance, 40: 1319–1340. doi: 10.1111/j.1540-6261.1985.tb02385.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
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