A Pricing model for quantity contracts
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000nab a2200000 i 4500 | ||
| 001 | MAP20071506354 | ||
| 003 | MAP | ||
| 005 | 20080418125051.0 | ||
| 007 | hzruuu---uuuu | ||
| 008 | 050202e20041201usa|||| | |00010|eng d | ||
| 040 | $aMAP$bspa | ||
| 084 | $a937.412 | ||
| 100 | 1 | $0MAPA20080059958$aAase, Knut K. | |
| 245 | 1 | 0 | $aA Pricing model for quantity contracts$cKnut K. Aase |
| 520 | 8 | $aAn 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 | |
| 650 | 0 | 1 | $0MAPA20080603182$aProductos financieros |
| 650 | 1 | 1 | $0MAPA20080591090$aFuturos financieros |
| 650 | 1 | 1 | $0MAPA20080548445$aOpciones |
| 650 | 1 | 1 | $0MAPA20080602659$aModelos econométricos |
| 650 | 1 | 1 | $0MAPA20080623920$aAnálisis económico-financiero |
| 650 | 1 | 1 | $0MAPA20080602444$aMatemática financiera |
| 700 | 1 | $0MAPA20080244361$aGorvett, Richard W. | |
| 740 | 4 | $aThe Journal of risk and insurance | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dOrlando$gVolume 71, number 4, December 2004 ; p. 617-642 |