• Media type: E-Book; Report
  • Title: On the timing option in a futures contract
  • Contributor: Biagini, Francesca [Author]; Björk, Tomas [Author]
  • imprint: Stockholm: Stockholm School of Economics, The Economic Research Institute (EFI), 2005
  • Language: English
  • Keywords: Suchtheorie ; Termingeschäft ; Unvollkommener Markt ; G12 ; Theorie ; Optionspreistheorie ; G13
  • Origination:
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  • Description: The timing option embedded in a futures contract allows the short position to decide when to deliver the underlying asset during the last month of the contract period. In this paper we derive, within a very general incomplete market framework, an explicit model independent formula for the futures price process in the presence of a timing option. We also provide a characterization of the optimal delivery strategy, and we analyze some concrete examples. Futures contract ; timing option ; optimal stopping
  • Access State: Open Access