Valuation of futures and commodity options with information costs

Journal of Futures Markets

Volumn 19, Issue 6, 1999, Pages 645-664

  Bellalah, Mondher ^a,b  

^a UMR 8184   (France)

^b Univ of Le Mans and Consultant   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033468646     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199909)19:6<645::AID-FUT2>3.0.CO;2-S     Document Type: Article

References (16)

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3. Bellalah, M. (1990), Quatre essais pour l'évaluation des options sur indices et sur contrats à terme d'indice. Doctorat de l'Université de Paris-Dauphine.
4. Bellalah, M. (1999, forthcoming) Options et dividendes. Canadian Revue, FI-NECO, 2.
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11. Merton, R. C. (1987). A simple model of capital market equilibrium with incomplete information. Journal of Finance, 3, 483-510.
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13. Omberg, (1991). On the theory of perfect hedging. Advances in Futures and Options Research, 5.
14. Rubinstein, M. (1983). Nonparametric tests of alternative pricing models using all reported trades and quotes on the 30 most active CBOE option classes from August 23, 1976 through August 31, 1978. Journal of Finance, 11(2), 455-480.
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16. Whaley, R. E. (1986). Valuation of American futures options: Theory and empirical tests. Journal of Finance, 41, 127-150.