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

MAP20071506354

A Pricing model for quantity contracts / Knut K. Aase

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

En: The Journal of risk and insurance. - Orlando. - Volume 71, number 4, December 2004 ; p. 617-642

1. Productos financieros . 2. Futuros financieros . 3. Opciones . 4. Modelos econométricos . 5. Análisis económico-financiero . 6. Matemática financiera . I. Gorvett, Richard W. . II. Título. III. Título: The Journal of risk and insurance.