Remark on repo and options

📝 Original Info

• Title: Remark on repo and options
• ArXiv ID: 1311.5211
• Date: 2013-11-27
• Authors: Researchers from original ArXiv paper

📝 Abstract

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.

💡 Deep Analysis

Deep Dive into Remark on repo and options.

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.

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Reference