Scientific journal paper Q2
Novel analytic representations for caps, floors, collars, and exchange options on continuous flows, arbitrage-free relations, and optimal investments
José Carlos Dias (Dias, J. C.); João Nunes (Nunes, J. P. V.); Fernando Correia da Silva (Silva, F. C. da.);
Journal Title
Journal of Futures Markets
Year (definitive publication)
2024
Language
English
Country
United States of America
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Abstract
We offer analytic formulae for valuing finite maturity profit caps and floors that are contingent on continuous flows without the need for subtracting the risk-neutral expectation of the forward starting perpetual solution from the corresponding perpetual solution. The related price caps, floors, and collars are easily obtained from any analytic representation of profit caps and floors using some arbitrage-free relations. Finally, we offer two novel methods for calculating the optimal triggers of investment projects in the presence of price floors and collars regimes in a way that is much simpler than the ones currently used.
Acknowledgements
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Keywords
Arbitrage‐free,Caps,Continuous flows,Exchange options,Floors and collars,Investment opportunities
Fields of Science and Technology Classification
  • Economics and Business - Social Sciences
Funding Records
Funding Reference Funding Entity
UIDB/00315/2020 Fundação para a Ciência e a Tecnologia
Publication Identifiers
ci-pub-105396
2-s2.0-85202879387
WOS:001303042100001
10.1002/fut.22549
WOS:001303042100001
2-s2.0-85202879387
Other Publication Details
2024
Wiley
Web of Science©; Scopus;
0270-7314 (print)
1096-9934 (online)
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44 12
1869 - 1887
Yes
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