Ayadi, Mohamed A.; Hatem Ben‐Ameur; Kirillov, Tymur; … - In: Journal of Futures Markets 34 (2014) 12, pp. 1185-1201
<section xml:id="fut21645-sec-0001"> We propose a stochastic dynamic program (SDP) for valuing options on stock‐index futures. SDP accommodates European‐ as well as American‐style options, and price limits on the underlying futures contracts. Our numerical investigation shows convergence, robustness, and efficiency. SDP...</section>