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Title of Journal: J Syst Sci Complex

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Abbravation: Journal of Systems Science and Complexity

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Springer-Verlag

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10.1007/978-3-0348-8487-7_2

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1559-7067

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Pricing of LIBOR futures by martingale method in C

Authors: Ping Li Peng Shi Guangdong Huang Xiaojun Shi
Publish Date: 2010/05/16
Volume: 23, Issue: 2, Pages: 261-269
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Abstract

This paper considers the pricing of LIBOR futures in the CoxIngersollRoss 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 closedform pricing formula for LIBOR futures contracts is obtained in the CIR model

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