Valuation of Futures Options with Initial Margin Requirements and Daily Price Limit

作     者：Juan LI Yan Ling GU 

作者机构：School of Mathematics and Statistics Shandong University at Weihai Weihai 264209 P. R. China Treasury Department China Everbright Bank Beijing 100045 P. R. China 

出 版 物：《Acta Mathematica Sinica,English Series》 (数学学报（英文版）)

年 卷 期：2010年第26卷第3期

页      面：579-586页

核心收录：

学科分类：120202[管理学-企业管理（含：财务管理、市场营销、人力资源管理）] 12[管理学] 1202[管理学-工商管理] 07[理学] 0701[理学-数学] 070101[理学-基础数学] 

基　　金：Supported by National Natural Science Foundation of China (Grant Nos. 10701050, 10426022) Shandong Province (Grant No. Q2007A04), Postdoctoral Science Foundation of Shanghai (Grant No. 06R214121) National Basic Research Program of China (973 Program) (Grant No. 2007CB814904) 

主　　题：valuation of futures option initial margin requirements daily price limit backward stochastic differential equations 

摘      要：The paper presents a valuation model of futures options trading at exchanges with initial margin requirements and daily price limit, and this result gives an academic guidance to design trading rules at exchanges. Unlike the leading work of Black, certain trading rules are considered so as to be more fit for practical futures markets. The paper prices futures options with initial margin requirements and daily price limit by duplicating them with the help of the theory of backward stochastic differential equations （BSDEs, for short）. Furthermore, an explicit expression of the price Of the call （or the put） futures option is given and also is shown to be the unique solution of the associated nonlinear partial differential equation.