Add to ORKGThis paper is a study of continuously resettled contingent claims prices in a stochastic economy. As special cases, the relationship between futures and forward prices is analyzed, and a preference-free expression is derived for these prices, as well as the price of a continuously resettled futures option, whose formula di#ers from Black's futures option pricing formula due to the e#ects of marking-to-market the changes in the futures option premium. The first author is pleased to acknowledge the research support of Batterymarch Financial Management
This study investigates the pricing behaviors of default-free bond futures and American options on d...
[[abstract]]Stock markets around the world have fallen sharply in recent years, leaving many stock o...
[[abstract]]This paper makes two contributions to the literature. The first contribution is to provi...
This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As...
This thesis extends the previous work on interest rate contingent claims in several ways. First, fut...
Abstract. In this paper, we construct a permit market model to derive a pricing formula of contingen...
The existence of premiums in futures prices has been the subject of much debate. This debate has cen...
This article presents a collection of results and formulae for pricing commodity futures, futures op...
Abstract Most of the literature on the arbitrage-free pricing of contingent claims places its primar...
This paper analyses how to price contingent claims, the payoffs which depend on the price level, by ...
This paper considers the pricing of contingent claims using an approach developed and used in insura...
The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of invest...
This paper assumes that the underlying asset prices are lognormally distributed and drives necessary...
This thesis develops a contingent claim pricing model to compute the value of a popular insurance pr...
Reset clauses on the strike price and maturity date are commonly found in derivative contracts, like...
This study investigates the pricing behaviors of default-free bond futures and American options on d...
[[abstract]]Stock markets around the world have fallen sharply in recent years, leaving many stock o...
[[abstract]]This paper makes two contributions to the literature. The first contribution is to provi...
This paper is a study of continuously resettled contingent claims prices in a stochastic economy. As...
This thesis extends the previous work on interest rate contingent claims in several ways. First, fut...
Abstract. In this paper, we construct a permit market model to derive a pricing formula of contingen...
The existence of premiums in futures prices has been the subject of much debate. This debate has cen...
This article presents a collection of results and formulae for pricing commodity futures, futures op...
Abstract Most of the literature on the arbitrage-free pricing of contingent claims places its primar...
This paper analyses how to price contingent claims, the payoffs which depend on the price level, by ...
This paper considers the pricing of contingent claims using an approach developed and used in insura...
The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of invest...
This paper assumes that the underlying asset prices are lognormally distributed and drives necessary...
This thesis develops a contingent claim pricing model to compute the value of a popular insurance pr...
Reset clauses on the strike price and maturity date are commonly found in derivative contracts, like...
This study investigates the pricing behaviors of default-free bond futures and American options on d...
[[abstract]]Stock markets around the world have fallen sharply in recent years, leaving many stock o...
[[abstract]]This paper makes two contributions to the literature. The first contribution is to provi...