Review of Finance Vol. 1 No. 1 1997
Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option
Abstract
The paper derives closed-form formulas for the futures price in the presence of a multi-asset quality option. This is done for two cases: In the first one the underlying assets are zero coupon bonds with different maturities in the single-factor Vasicek model. In the second one these are commodities in a multi-factor setting, again with Vasicek interest rate uncertainty.
- DOI
- 10.1023/a:1009782109750
- Volume
- 1
- Issue
- 1
- Pages
- 81-104
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref