no code implementations • 25 Sep 2020 • Anatoliy Swishchuk, Ana Roldan-Contreras, Elham Soufiani, Guillermo Martinez, Mohsen Seifi, Nishant Agrawal, Yao Yao
Here we propose two alternatives to Black 76 to value European option future contracts in which the underlying market prices can be negative or mean reverting.
