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

DOI10.1007/S10690-016-9209-7zbMATH Open1457.91382OpenAlexW656010529MaRDI QIDQ1627675FDOQ1627675

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

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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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
• ISOLATING THE WILD CARD OPTION
• ON THE TIMING OPTION IN A FUTURES CONTRACT

Cited In (1)

• ON THE TIMING OPTION IN A FUTURES CONTRACT

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