Pricing of LIBOR futures by martingale method in Cox-Ingersoll-Ross model

被引：0

作者：

Ping Li

Peng Shi

Guangdong Huang

Xiaojun Shi

机构：

[1] BeiHang University,School of Information Engineering

[2] Northern Illinois University,undefined

[3] China Geosciences University,undefined

[4] BeiHang University,undefined

来源：

Journal of Systems Science and Complexity | 2010年 / 23卷

关键词：

Cox-Ingersoll-Ross model; futures pricing; LIBOR futures; martingale;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross (CIR) model under Pozdnyakov and Steele (2004)’s martingale framework for futures prices. Under the CIR model for short term interest rate, we prove that there exists a unique futures price process associated with the terminal value and the standard financial market, and that this unique futures price process has a martingale representation. Moreover, a general closed-form pricing formula for LIBOR futures contracts is obtained in the CIR model.

引用

页码：261 / 269

页数：8

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