Advances in Economics and Business Vol. 1(2), pp. 213 - 221
DOI: 10.13189/aeb.2013.010216
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Remark on Repo and Options

Andrei A. Kapaev*
N.N.Bogolubov Lab of Geometric Methods in Mathematical Physics, Mechanic and Mathematics Department, Moscow State University, Leninskie gory, 1, Moscow, 119991, Russian Federation


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.

Repo Agreement, Repo Rate, Option, Pricing

Cite This Paper in IEEE or APA Citation Styles
(a). IEEE Format:
[1] Andrei A. Kapaev , "Remark on Repo and Options," Advances in Economics and Business, Vol. 1, No. 2, pp. 213 - 221, 2013. DOI: 10.13189/aeb.2013.010216.

(b). APA Format:
Andrei A. Kapaev (2013). Remark on Repo and Options. Advances in Economics and Business, 1(2), 213 - 221. DOI: 10.13189/aeb.2013.010216.