15. The Black model was extended by Adesi-Barone and Whaley to futures options that are of the...

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15. The Black model was extended by Adesi-Barone and Whaley to futures options that are of the American type.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:01 AM

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15. The Black model was extended by Adesi-Barone and Whaley to futures options that are of the American type.
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14. The Black model is used for valuing futures options but is limited because it deals with European-type options.
16. The Black model and the Adesi-Barone and Whaley model were originally developed for equities and as a result did not take into account the Treasury yield curve.
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15. The Black model was extended by Adesi-Barone and Whaley to futures options that are of the...

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Measuring And Controlling Interest Rate And Credit Risk

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