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Option and Futures Evaluation With Deterministic Volatilities

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  • Farshid Jamshidian
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    Abstract

    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.

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    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9965.1993.tb00084.x
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    Bibliographic Info

    Article provided by Wiley Blackwell in its journal Mathematical Finance.

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

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    Handle: RePEc:bla:mathfi:v:3:y:1993:i:2:p:149-159

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    Cited by:
    1. Jamshidian, Farshid, 2008. "Numeraire Invariance and application to Option Pricing and Hedging," MPRA Paper 7167, University Library of Munich, Germany.
    2. Jamshidian, Farshid, 2007. "Exchange Options," MPRA Paper 4471, University Library of Munich, Germany, revised 14 Aug 2007.
    3. Frey, RĂ¼diger & 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.
    4. Goldys, B. & M. Musiela & D. Sondermann, 1996. "Lognormality of Rates and Term Structure Models," Discussion Paper Serie B 394, University of Bonn, Germany.
    5. Bick, Avi, 2012. "The relationship between reciprocal currency futures prices," Finance Research Letters, Elsevier, vol. 9(4), pages 194-201.
    6. 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.

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