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Remark on Repo and Options by Kapaev, Andrei is a scholarly article available to read on EtoBox.

What is Remark on Repo and Options about?

The general and special repo rates are related with the prices of the European call- and American put-options. The evaluation takes into account specific business models of the parties in the repo agreement and the law restrictions. Using the repo-option relation, an alternative to the Black-Scholes method of option pricing is presented. The empirical data on the general and special repo rates are explained.

Author

Kapaev, Andrei

Published

2013

Language

EN