Arbeitspapier
On the timing option in a futures contract
The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the futures price process in the presence of a timing option. We also provide a characterization of the optimal delivery strategy, and we analyze some concrete examples. Futures contract ; timing option ; optimal stopping
- Sprache
-
Englisch
- Erschienen in
-
Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 619
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Thema
-
Termingeschäft
Optionspreistheorie
Unvollkommener Markt
Suchtheorie
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Biagini, Francesca
Björk, Tomas
- Ereignis
-
Veröffentlichung
- (wer)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (wo)
-
Stockholm
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
-
10.03.2024, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Biagini, Francesca
- Björk, Tomas
- Stockholm School of Economics, The Economic Research Institute (EFI)
Entstanden
- 2005
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