American Futures Call Option

Risk Management
Stress Testing
February 9, 2022
Risk Management
Risk-Weighted Assets
February 9, 2022

An American futures option that grants the holder the right, without the obligation, to purchase the underlying futures contract. The holder will exercise his right if the futures price exceeds the exercise price before or at the expiration date. The American futures call option is worth more than the corresponding American option on the underlying asset when the futures price exceeds the spot price prior to the expiration date of the futures contract, and vice versa.

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