Chapter 7 A discrete time synthesis of derivative security valuation using a term structure of futures prices

摘要: Summary This paper provided an analytic synthesis of the option pricing literature, using a term structure futures prices approach. Postulating process for evolution prices, it is shown how to price derivative secutities in arbitrage-free manner. Complete markets are assumed. approach generalizes traditional methodology by relaxing assumption frictionless spot market (or even existence market) and that underlying commodity storable. Thus, this method consistent with short sale constraints commodity. When restrictions removed, models be obtainable as special cases. includes binomial model CRR, well its applications index options, currency options options. The new interest rate HJM also subset framework. A brief discussion empirically implement provided. References given reviews empirical literature historic surveys development.