Advanced Search
MyIDEAS: Login to save this article or follow this journal

Option and Futures Evaluation With Deterministic Volatilities


Author Info

  • Farshid Jamshidian
Registered author(s):


    Several risk-neutral expectation formulae are derived in a general multifactor setting. Specializing to deterministic covariances of returns, they lead to formulae for forward and future prices as well as formulae for options on forward and futures contracts. the results are applicable to currencies, bonds, commodities with stochastic convenience yield, and stock indices. For currencies, a noarbitrage relation between domestic and foreign economies is formulated and applied to evaluate quanto futures and options. Copyright 1993 Blackwell Publishers.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL:
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

    Volume (Year): 3 (1993)
    Issue (Month): 2 ()
    Pages: 149-159

    as in new window
    Handle: RePEc:bla:mathfi:v:3:y:1993:i:2:p:149-159

    Contact details of provider:
    Web page:

    Order Information:

    Related research



    No references listed on IDEAS
    You can help add them by filling out this form.


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Samson Assefa, 2007. "Calibration and Pricing in a Multi-Factor Quadratic Gaussian Model," Research Paper Series 197, Quantitative Finance Research Centre, University of Technology, Sydney.
    2. Goldys, B. & M. Musiela & D. Sondermann, 1996. "Lognormality of Rates and Term Structure Models," Discussion Paper Serie B 394, University of Bonn, Germany.
    3. Jamshidian, Farshid, 2008. "Numeraire Invariance and application to Option Pricing and Hedging," MPRA Paper 7167, University Library of Munich, Germany.
    4. Bick, Avi, 2012. "The relationship between reciprocal currency futures prices," Finance Research Letters, Elsevier, vol. 9(4), pages 194-201.
    5. Jamshidian, Farshid, 2007. "Exchange Options," MPRA Paper 4471, University Library of Munich, Germany, revised 14 Aug 2007.
    6. Constantin Mellios, 2001. "Valuation of Interest Rate Options in a Two-Factor Model of the Term Structure of Interest Rate," Working Papers 2001-1, Laboratoire Orléanais de Gestion - université d'Orléans.
    7. Frey, Rüdiger & Daniel Sommer, 1995. "A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk," Discussion Paper Serie B 306, University of Bonn, Germany, revised Jun 1996.
    8. San-Lin Chung, 2000. "American option valuation under stochastic interest rates," Review of Derivatives Research, Springer, vol. 3(3), pages 283-307, October.


    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.


    Access and download statistics


    When requesting a correction, please mention this item's handle: RePEc:bla:mathfi:v:3:y:1993:i:2:p:149-159. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.