Pricing Continuously Resettled Contingent Claims
نویسندگان
چکیده
This 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 differs from Black’s futures option pricing formula due to the effects 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. The second author gratefully acknowledges financial support under Overseas Studentship no. 86610291 from the Science and Engineering Research Council.
منابع مشابه
Pricing continuously resettled
This 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 differs from Black’s futures option pricing formula due to the effects of m...
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