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A pricing model for yield contracts

Aase, Knut K.
Working paper
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URI
http://hdl.handle.net/11250/163659
Date
2002
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  • Discussion papers (FOR) [556]
Abstract
An economic model is proposed for a combined price futures and yield futures market. The innovation of the paper is a technique of transforming from quantity and price to a model of two genuine pricing processes. This is required in order to apply modern financial theory. It is demonstrated that the resulting model can be estimated solely from data for a yield futures market and a price futures market.

We develop a set of pricing formulas, some of which are partially tested, using price data for area yield options from the Chicago Board of Trade. Compared to a simple application of the standard Black and Scholes model, our approach seemes promising.
Publisher
Norwegian School of Economics and Business Administration. Department of Finance and Management Science
Series
Discussion paper
2002:23

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