The end of the month option and other embedded options in futures contracts

DOI10.1007/S10690-016-9209-7zbMath1457.91382OpenAlexW656010529MaRDI QIDQ1627675

Kristoffer Lindensjö

Publication date: 3 December 2018

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-016-9209-7

zbMATH Keywords

optimal stoppingincomplete marketsembedded optionsfutures contractdelivery optionsend of the month optiontiming option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• ISOLATING THE WILD CARD OPTION
• ON THE TIMING OPTION IN A FUTURES CONTRACT
• Optimal Stopping Rules for Stochastic Processes with Continuous Parameter
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