A Pricing model for quantity contracts

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      <subfield code="a">Aase, Knut K.</subfield>
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      <subfield code="a">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 promising</subfield>
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      <subfield code="a">The Journal of risk and insurance</subfield>
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      <subfield code="g">Volume 71, number 4, December 2004 ;  p. 617-642</subfield>
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