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
- Language
-
Englisch
- Bibliographic citation
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Series: SSE/EFI Working Paper Series in Economics and Finance ; No. 619
- Classification
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
Termingeschäft
Optionspreistheorie
Unvollkommener Markt
Suchtheorie
Theorie
- Event
-
Geistige Schöpfung
- (who)
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Biagini, Francesca
Björk, Tomas
- Event
-
Veröffentlichung
- (who)
-
Stockholm School of Economics, The Economic Research Institute (EFI)
- (where)
-
Stockholm
- (when)
-
2005
- Handle
- Last update
-
10.03.2025, 11:41 AM CET
Data provider
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Object type
- Arbeitspapier
Associated
- Biagini, Francesca
- Björk, Tomas
- Stockholm School of Economics, The Economic Research Institute (EFI)
Time of origin
- 2005
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