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

被引：0

作者：

Ping LI BeiHang UniversityBeijing ChinaPeng SHI Northern Illinois UniversityIllinois USA Guangdong HUANG School of Information EngineeringChina Geosciences UniversityBeijing China Xiaojun SHI BeiHang UniversityBeijing China ^{[100191
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机构：

来源：

JournalofSystemsScience&Complexity | 2010年 / 23卷 / 02期

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：

1201 ; 020204 ;

摘要：

<正> 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

页码：261 / 269

页数：9