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Persistent link: https://www.econbiz.de/10003344282
We consider HJM type models for the term structure of futures prices, where the volatility is allowed to be an arbitrary smooth functional of the present futures privce curve. Using a Lie algebraic approach we investigate when the infinite dimensional futures price process can be realized by a...
Persistent link: https://www.econbiz.de/10003262826
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Persistent link: https://www.econbiz.de/10003543130
The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the...
Persistent link: https://www.econbiz.de/10003241777
We consider an incomplete market in the form of a multidimensional Markovian factor model, driven by a general marked point process (representing discrete jump events) as well as by a standard multidimensional Wiener process. Within this framework we study arbitrage free good deal pricing bounds...
Persistent link: https://www.econbiz.de/10002757005