Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/56241 
Year of Publication: 
2005
Series/Report no.: 
SSE/EFI Working Paper Series in Economics and Finance No. 619
Publisher: 
Stockholm School of Economics, The Economic Research Institute (EFI), Stockholm
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

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