英文标题：
《Remark on repo and options》
---
作者：
Andrei Kapaev
---
最新提交年份：
2013
---
英文摘要：
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.
---
中文摘要：
一般和特殊回购利率与欧洲看涨期权和美国看跌期权的价格有关。评估考虑了回购协议各方的具体商业模式和法律限制。利用回购期权关系，提出了期权定价的Black-Scholes方法的替代方法。解释了一般回购利率和特殊回购利率的经验数据。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
--

---
PDF下载：
-->