dc.contributor.author | Aase, Knut K. | |
dc.date.accessioned | 2006-07-13T12:19:14Z | |
dc.date.available | 2006-07-13T12:19:14Z | |
dc.date.issued | 2002 | |
dc.identifier.issn | 1500-4066 | |
dc.identifier.uri | http://hdl.handle.net/11250/163659 | |
dc.description.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. | en |
dc.format.extent | 532471 bytes | |
dc.format.mimetype | application/pdf | |
dc.language.iso | eng | en |
dc.publisher | Norwegian School of Economics and Business Administration. Department of Finance and Management Science | en |
dc.relation.ispartofseries | Discussion paper | en |
dc.relation.ispartofseries | 2002:23 | en |
dc.subject | area yield options | en |
dc.subject | futures | en |
dc.subject | continous time modelling | en |
dc.subject | quantity and price securing | en |
dc.subject | CBOT yield contracts | en |
dc.title | A pricing model for yield contracts | en |
dc.type | Working paper | en |