A note on forward price and forward measure

Ren Raw Chen; Jing Zhi Huang

doi:10.1023/A:1020715407939

A note on forward price and forward measure

Ren Raw Chen^*
, Jing Zhi Huang

^*此作品的通信作者

Rutgers - The State University of New Jersey, New Brunswick
Pennsylvania State University

研究成果: 期刊稿件 › 文章 › 同行評審

2 引文斯高帕斯（Scopus）

摘要

The forward measure is convenient in calculating various contingent claim prices under stochastic interest rates. We demonstrate that caution needs to be drawn when the forward measure is used to price contingent claims that involve multiple cash flows. We also derive partial different equations for the forward price to demonstrate how forward contracts can be used for dynamic hedging and how hedges can be conducted if the payoff of a contingent claim depends on the forward price.

原文	英語
頁（從 - 到）	261-272
頁數	12
期刊	Review of Quantitative Finance and Accounting
卷	19
發行號	3
DOIs	https://doi.org/10.1023/A:1020715407939
出版狀態	已出版 - 2002
對外發佈	是

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KW - Forward price

KW - Stochastic interest rates

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A note on forward price and forward measure

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