caa a22 4500 463187601 CHVBK 20180406164858.0 cr unu---uuuuu 170326e20070401xx s 000 0 eng 10.1007/s11156-006-0015-6 doi (NATIONALLICENCE)springer-10.1007/s11156-006-0015-6 Pricing futures on geometric indexes: A discrete time approach [Elektronische Daten] [Arie Harel, Giora Harpaz, Jack Francis] Several futures contracts are written against an underlying asset that is a geometric, rather than arithmetic, index. These contracts include: the US Dollar Index futures, the CRB-17 futures, and the Value Line geometric index futures. Due to the geometric averaging, the standard cost-of-carry futures pricing formula is improper for pricing these futures contracts. We assume that asset prices are lognormally distributed, and capital markets are complete. Using the concepts of equivalent martingale measure and the risk-neutral valuation relationships in conjunction with discrete time methodology, we derive closed-form pricing formulas for these contracts. Our pricing formulas are consistent with the ones obtained via a continuous time paradigm. Springer Science+Business Media, LLC, 2006 Geometric indexes nationallicence Futures pricing nationallicence Risk-neutral valuation nationallicence Discrete time model nationallicence Harel Arie Zicklin School of Business, Baruch College, City University of New York, 55 Lexington Avenue, One Bernard Baruch Way, Box B11-220, 10010-5585, New York, NY, USA aut Harpaz Giora Zicklin School of Business, Baruch College, City University of New York, 55 Lexington Avenue, One Bernard Baruch Way, Box B11-220, 10010-5585, New York, NY, USA aut Francis Jack Zicklin School of Business, Baruch College, City University of New York, 55 Lexington Avenue, One Bernard Baruch Way, Box B11-220, 10010-5585, New York, NY, USA aut Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/3(2007-04-01), 227-240 0924-865X 28:3<227 2007 28 11156 https://doi.org/10.1007/s11156-006-0015-6 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s11156-006-0015-6 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Harel Arie Zicklin School of Business, Baruch College, City University of New York, 55 Lexington Avenue, One Bernard Baruch Way, Box B11-220, 10010-5585, New York, NY, USA aut NATIONALLICENCE 700 1- Harpaz Giora Zicklin School of Business, Baruch College, City University of New York, 55 Lexington Avenue, One Bernard Baruch Way, Box B11-220, 10010-5585, New York, NY, USA aut NATIONALLICENCE 700 1- Francis Jack Zicklin School of Business, Baruch College, City University of New York, 55 Lexington Avenue, One Bernard Baruch Way, Box B11-220, 10010-5585, New York, NY, USA aut NATIONALLICENCE 773 0- Review of Quantitative Finance and Accounting Kluwer Academic Publishers-Plenum Publishers; http://www.springer-ny.com 28/3(2007-04-01), 227-240 0924-865X 28:3<227 2007 28 11156 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer