THE EFFECTS OF CHANGING MARGIN LEVELS ON FUTURES OPTIONS PRICE

作     者：Yanling GU School of Economics,Fudan University,Shanghai 200433 Post Doctoral of Program of Shanghai Futures Exchange,Shanghai 200122,China.Email:gu.yl@shfe.com.cn.Juan LI Department of Mathematics,Fudan University,Shanghai 200433 Department of Mathematics,Shandong Uni- 

作者机构：School of Economics Fudan University Shanghai 200433 Post Doctoral of Program of Shanghai Futures Exchange Shanghai 200122 China Department of Mathematics Fudan University Shanghai 200433 Department of Mathematics Shandong University at Weihai Weihai 264200 China 

出 版 物：《Journal of Systems Science & Complexity》 (系统科学与复杂性学报（英文版）)

年 卷 期：2006年第19卷第4期

页      面：461-469页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：This research is supported by Postdoctoral Science Foundation of Shanghai under Grant No.04R214206 Natural Science Foundation of ChiHa under Grallt No.10426022 

主　　题：Backward stochastic differential equations futures options margin. 

摘      要：The paper studies the effects of changing margin levels on the price of fixtures options and how to organize a market maker＇s position. Black model （1976） becomes a special case of this paper. The paper prices futures options by duplicating them and adopting the theory of Backward Stochastic Differential Equations （BSDEs for short）, Furthermore, the price of a futures option is the unique solution to a nonlinear BSDE.