论文32：『The Structure Models for Futures Options Pricing and Related Researches』, The ICFAI Journal of Applied Economics, 2008, 7(3): 61-76.

摘要：Based on the structure model of option pricing (Dai, 2005) and the Partial Distribution (Dai, 2001), this paper designs a new kind of expression of futures price, presents the structure pricing model for American futures options on underlying non-dividend-paying, and gives three put-call parities between American call and put option on spots, call and put option on futures, and spot options and futures options, they are different from the current put-call parity on European options. The paper also prove analytically that an American call option on futures must be worth more than the corresponding American call option on spot and an American put option on futures must be worth less than the corresponding American put option on spot in normal market; and the opposite hold true in the inverted market.

附件：The Structure Models for Futures Options Pricing and Related Researches.pdf

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