PRICING OF LIBOR FUTURES BY MARTINGALE METHOD IN COX-INGERSOLL-ROSS MODEL

• 作 者: Ping LI Peng SHI Guangdong HUANG Xiaojun SHI
• 机 构: BeiHang University,Beijing 100191,China;Northern Illinois University,Illinois 60115,USA;School of In
• 出 处: 系统科学与复杂性学报(英文版)
• 发表日期: 2010年2期
• 关键词: Cox-Ingersoll-Ross model futures pricing LIBOR futures martingale

This paper considers the pricing of LIBOR futures in the Cox-Ingersoll-Ross(CIR)model under Pozdnyakov and Steele(2004)’s martingale framework for futures prices.Under the CIR model for short term interest rate,we prove that there exists a unique futures price process associated with the terminal value and the standard financial market,and that this unique futures price process has a martingale representation.Moreover,a general closed-form pricing formula for LIBOR futures contracts is obtained in the CIR model.