A test of the Asay model for pricing options on the SPI futures contract

Pacific Basin Finance Journal

Volumn 5, Issue 5, 1997, Pages 579-594

  Brown, C A ^a   Taylor, S D ^a  

^a UNIVERSITY OF MELBOURNE   (Australia)

Author keywords

Asay model; Futures options; G13; Volatility smile

Indexed keywords

EID: 0039468360     PISSN: 0927538X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-538X(97)00023-1     Document Type: Article

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