American Option Pricing of Future Contracts in an Effort to Investigate Trading Strategies; Evidence from North Sea Oil Exchange
In this paper, Black Scholes’s pricing model was developed to study American option on future contracts of Brent oil. The practical tests of the model show that market priced option contracts as future contracts less than what model did, which mostly represent option contracts with price rather than...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Islamic Azad University of Arak
2017-09-01
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| Series: | Advances in Mathematical Finance and Applications |
| Subjects: | |
| Online Access: | http://amfa.iau-arak.ac.ir/article_533102_dfbcd940adb458afe4d1746f3d02f550.pdf |