English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Novel analytic representations for caps, floors, collars, and exchange options on continuous flows, arbitrage-free relations, and optimal investments
Título Revista
Journal of Futures Markets
Ano (publicação definitiva)
2024
Língua
Inglês
País
Estados Unidos da América
Mais Informação
Web of Science®
Scopus
Google Scholar
Abstract/Resumo
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.
Agradecimentos/Acknowledgements
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Palavras-chave
Arbitrage‐free,Caps,Continuous flows,Exchange options,Floors and collars,Investment opportunities
Classificação Fields of Science and Technology
- Economia e Gestão - Ciências Sociais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| UIDB/00315/2020 | Fundação para a Ciência e a Tecnologia |
