English

Remark on repo and options

Pricing of Securities 2013-11-27 v1

Abstract

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.

Keywords

Cite

@article{arxiv.1311.5211,
  title  = {Remark on repo and options},
  author = {Andrei Kapaev},
  journal= {arXiv preprint arXiv:1311.5211},
  year   = {2013}
}

Comments

10 pages, 2 figures

R2 v1 2026-06-22T02:11:37.296Z