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SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics >
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http://hdl.handle.net/10419/56241
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| Title: | | On the timing option in a futures contract  |
| Authors: | | Biagini, Francesca Björk, Tomas |
| Issue Date: | | 2005 |
| Series/Report no.: | | SSE/EFI Working Paper Series in Economics and Finance 619 |
| Abstract: | | 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 futures price process in the presence of a timing option. We also provide a characterization of the optimal delivery strategy, and we analyze some concrete examples. Futures contract ; timing option ; optimal stopping |
| JEL: | | G12 G13 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SSE/EFI Working Paper Series in Economics and Finance, EFI - The Economic Research Institute, Stockholm School of Economics
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