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《Journal of Shanghai Jiaotong University》 2009-04
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Pricing Futures Contract Considering Reserve Margin Based on Lookback Option Model

HUANG Wei,LIU Hai-long(Financial Engineering Research Center,Shanghai Jiaotong University,Shanghai 200052,China)  
The path dependence of the reserve margin is the same with lookback option.This paper developed the reserve margin model according the lookback option model,and then got the number of the reserve margin with short or long position.On the other hand,the reserve margin is necessary to the practical arbitrage operation.So the new no-arbitrage bound model was built considering the reserve margin factor.At last,an example with China copper futures contract was given.
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【Co-references】
Chinese Journal Full-text Database 10 Hits
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