The end of the month option and other embedded options in futures contracts

DOI10.1007/S10690-016-9209-7MaRDI QIDQ1627675zbMATH OpenOpenAlexFDO

Authors Kristoffer Lindensjö

Publication date 3 December 2018

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-016-9209-7

zbMATH Keywords

optimal stoppingincomplete marketsembedded optionsfutures contractdelivery optionsend of the month optiontiming option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• ISOLATING THE WILD CARD OPTION
• ON THE TIMING OPTION IN A FUTURES CONTRACT
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter

Cited in

(1)

• ON THE TIMING OPTION IN A FUTURES CONTRACT

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