ON THE TIMING OPTION IN A FUTURES CONTRACT

DOI10.1111/j.1467-9965.2006.00303.xzbMath1186.91207OpenAlexW2064851444MaRDI QIDQ5422632

Francesca Biagini, Thomas Björk

Publication date: 29 October 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://swopec.hhs.se/hastef/papers/hastef0619.pdf

zbMATH Keywords

optimal stoppingfutures contracttiming option

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20)

Related Items (2)

The end of the month option and other embedded options in futures contracts ⋮ In memoriam: Tomas Björk (1947--2021). On his career and beyond

Cites Work

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• ISOLATING THE WILD CARD OPTION

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