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Title:On the timing option in a futures contract PDF Logo
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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