PRICING OF LIBOR FUTURES BY MARTINGALE METHOD IN COX-INGERSOLL-ROSS MODEL

被引：0
|
作者：
Ping LI BeiHang University
机构：
来源：
Journal of Systems Science & Complexity | 2010年 / 23卷 / 02期
基金：
中国国家自然科学基金;
关键词：
Cox-Ingersoll-Ross model; futures pricing; LIBOR futures; martingale;
D O I：
暂无
中图分类号：
F830.91 [证券市场];
学科分类号：
020204 ; 1201 ;
摘要：
This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross(CIR)modelunder Pozdnyakov and Steele(2004)’s martingale framework for futures prices.Under the CIR modelfor short term interest rate,we prove that there exists a unique futures price process associated withthe terminal value and the standard financial market,and that this unique futures price process has amartingale representation.Moreover,a general closed-form pricing formula for LIBOR futures contractsis obtained in the CIR model.
引用
收藏
页码：261 / 269
页数：9
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