Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option |
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| Authors: | Bick Avi |
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| Affiliation: | 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 pricein the presence of a multi-asset quality option. This is donefor two cases: In the first one the underlying assets are zerocoupon bonds with different maturities in the single-factorVasicek model. In the second one these are commodities in amulti-factor setting, again with Vasicek interest rate uncertainty. |
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| Keywords: | Futures contracts quality option Vasicek model |
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