A Pricing model for quantity contracts

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<title>A Pricing model for quantity contracts</title>
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<title>The Journal of risk and insurance</title>
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<name type="personal" usage="primary" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080059958">
<namePart>Aase, Knut K.</namePart>
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<namePart>Gorvett, Richard W.</namePart>
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<dateIssued encoding="marc">2004</dateIssued>
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<abstract>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</abstract>
<note type="statement of responsibility">Knut K. Aase</note>
<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080603182">
<topic>Productos financieros</topic>
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<subject authority="lcshac" xmlns:xlink="http://www.w3.org/1999/xlink" xlink:href="MAPA20080591090">
<topic>Futuros financieros</topic>
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<topic>Opciones</topic>
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<topic>Modelos econométricos</topic>
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<topic>Análisis económico-financiero</topic>
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<topic>Matemática financiera</topic>
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<title>The Journal of risk and insurance</title>
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<publisher>Orlando</publisher>
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<identifier type="local">MAP20077000727</identifier>
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<text>Volume 71, number 4, December 2004 ;  p. 617-642</text>
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