论文标题
实用期权估值的期货合同，基础价格为负面的价格
Practical Option Valuations of Futures Contracts with Negative Underlying Prices
论文作者
论文摘要
在这里，我们提出了两个黑色76的替代方案，以评估欧洲期权的未来合同，其中潜在的市场价格可能为负面或卑鄙的振兴。提出的两个模型是Ornstein-uhlenbeck（OU）和连续的时间GARCH（有条件的自回归有条件地异形）。然后，我们分析价值并将其与最常用的模型Black 76进行比较，当基础市场价格为正时
Here we propose two alternatives to Black 76 to value European option future contracts in which the underlying market prices can be negative or mean reverting. The two proposed models are Ornstein-Uhlenbeck (OU) and continuous time GARCH (generalized autoregressive conditionally heteroscedastic). We then analyse the values and compare them with Black 76, the most commonly used model, when the underlying market prices are positive
