Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option

DOI10.1023/A:1009782109750zbMath1032.91054OpenAlexW2051928327MaRDI QIDQ4798668

Avi Bick

Publication date: 12 March 2003

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1009782109750

zbMATH Keywords

Vasicek modelfutures contractsquality option

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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