Articles by Author: Ali M Kutan

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  1. Time-dependent volatility in futures contract options

    Time-dependent volatility in futures contract options

    Item type: Journal Article • Journal: Investment Analysts Journal
    The Schwartz (1997) two-factor model is the benchmark model for pricing futures options, and the volatility is constant, which is similar to the Black-Scholes model. In this paper, we use a similar method which can make the Black-Scholes model be...