Satchell, Stephen E.; Stapleton, Richard C.; … - In: Australian Journal of Management 22 (1997) 1, pp. 1-20
This paper assumes that the underlying asset prices are lognormally distributed, and derives necessary and sufficient conditions for the valuation of options using a Blackâ€Scholes type methodology. It is shown that the price of a futuresâ€style, markedâ€toâ€market option is given by...