Remark on repo and options
Kapaev, Andrei
Original · EN
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.
English translation
This paper has no Arabic translation yet. Be the first: it takes a few seconds, and the result is stored for every future reader.