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 p...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.展开更多
基金supported by the National Natural Science Foundation of China under Grant Nos.70971006,70501003,70831001the National Basic Research Program of China (973 Program) under Grant No.2007CB814906
文摘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.
