A Pricing model for quantity contracts

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<rdf:Description>
<dc:creator>Aase, Knut K.</dc:creator>
<dc:creator>Gorvett, Richard W.</dc:creator>
<dc:date>2004-12-01</dc:date>
<dc:description xml:lang="es">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</dc:description>
<dc:identifier>https://documentacion.fundacionmapfre.org/documentacion/publico/es/bib/58253.do</dc:identifier>
<dc:language>eng</dc:language>
<dc:rights xml:lang="es">InC - http://rightsstatements.org/vocab/InC/1.0/</dc:rights>
<dc:subject xml:lang="es">Productos financieros</dc:subject>
<dc:subject xml:lang="es">Futuros financieros</dc:subject>
<dc:subject xml:lang="es">Opciones</dc:subject>
<dc:subject xml:lang="es">Modelos econométricos</dc:subject>
<dc:subject xml:lang="es">Análisis económico-financiero</dc:subject>
<dc:subject xml:lang="es">Matemática financiera</dc:subject>
<dc:type xml:lang="es">Artículos y capítulos</dc:type>
<dc:title xml:lang="es">A Pricing model for quantity contracts</dc:title>
<dc:title xml:lang="es">Título: The Journal of risk and insurance</dc:title>
<dc:relation xml:lang="es">En: The Journal of risk and insurance. - Orlando. - Volume 71, number 4, December 2004 ;  p. 617-642</dc:relation>
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