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Subsections

Futures algoritms.

In this we discuss algoritms used in valuing futures contracts.

Pricing of futures contract.

The futures price of an asset without payouts is the future value of the current price of the assset.

\begin{displaymath}f_t = e^{r(T-t)} S_t \end{displaymath}


\begin{program} % latex2html id marker 1416\caption{} \lgrindfile{/home/bernt/2003_algor/all_cc_tex_files/futures_price.cc} \end{program}

next up previous contents index
Next: Binomial option pricing Up: Financial Numerical Recipes in Previous: The term structure of   Contents   Index
2003-10-22