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On the Timing Option in a Futures Contract
Mathematics Institute, University of Munich.
Stockholm School of Economics.
2007 (English)In: Mathematical Finance, ISSN 0960-1627, E-ISSN 1467-9965, Vol. 17, no 2, 267-283 p.Article in journal (Refereed) Published
Abstract [en]

    The timing option embedded in a futures contract allows the shortposition to decide when to deliver the underlying asset during the lastmonth of the contract period. In this paper we derive, within a very gen-eral incomplete market framework, an explicit model independent formulafor the futures price process in the presence of a timing option. We alsoprovide a characterization of the optimal delivery strategy, and we analyzesome concrete examples.

Place, publisher, year, edition, pages
2007. Vol. 17, no 2, 267-283 p.
Keyword [en]
Futures contract, timing option, optimal stopping
National Category
Economics and Business Mathematics
Identifiers
URN: urn:nbn:se:kth:diva-86571DOI: 10.1111/j.1467-9965.2006.00303.xISI: 000245316400006OAI: oai:DiVA.org:kth-86571DiVA: diva2:500856
Note
QC 20120313Available from: 2012-02-13 Created: 2012-02-13 Last updated: 2017-12-07Bibliographically approved

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