Centro de Documentacion de Fundación MAPFRE - A Pricing model for quantity contracts

Notes: An economic model is proposed for a combined price futures and yield futures market. The innovation of the article is a technique of transforming from quantify and price to a model of two genuine pricing processes. This is required in order to apply modern financial theory. It is demostrated that the resulting model can be estimated solely from data for a yield futures market and a price futures market. The author develops a set of pricing formulas, some of wich are partially tested, using price data for area yield options from the Chicago Board of Trade. Compared to a simple application of the standard Black and Scholes model, the approach seems promisingRelated records: En: The Journal of risk and insurance. - Orlando. - Volume 71, number 4, December 2004 ; p. 617-642Materia / lugar / evento: Productos financieros Futuros financieros Opciones Modelos econométricos Análisis económico-financiero Matemática financiera Otros autores: Gorvett, Richard W.
Secondary titles: Título: The Journal of risk and insurance
Other categories: 937.412

Rights: In Copyright (InC)

‌ See issue detail