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Reference Work Entry In depth
Analytical Bounds for Treasury Bond Futures Prices
The pricing of delivery options, particularly timing options, in Treasury bond futures is prohibitively expensive. Recursive use of the lattice model is unavoidable for valuing such options, as Boyle (1989) demon...
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Reference Work Entry In depth
Nonparametric Bounds for European Option Prices
There is much research whose efforts have been devoted to discovering the distributional defects in the Black-Scholes model, which are known to cause severe biases. However, with a free specification for the d...