Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option |
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| Authors: | Avi Bick |
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| Affiliation: | (1) Faculty of Business Administration, Simon Fraser University, Burnaby, B. C., V5A 1S6, Canada |
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| Abstract: | The paper derives closed-form formulas for the futures price in the presence of a multi-asset quality option. This is done for two cases: In the first one the underlying assets are zero coupon bonds with different maturities in the single-factor Vasicek model. In the second one these are commodities in a multi-factor setting, again with Vasicek interest rate uncertainty. |
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| Keywords: | Futures contracts quality option Vasicek model |
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