On the American style futures contracts

Abstract

There is a large number of sources devoted to the American style options. On the other hand, the American futures contracts are understudied in the scientific literature. This motivated us to examine these instruments in comparison to the relevant options. Their optimal boundaries are obtained and a finite difference scheme is applied to the pricing problem. We consider separately the long and short positions.

Keywords

• American futures contracts
• American options
• optimal boundaries
• pricing