Neutral And Indifference Pricing Of Futures In Incomplete Market

Futures pricing is one of the most important problems in finance, but so far futurespricing method is just based on no arbitrary rule and is very insufficient.In this thesis, we mainly deal with the futures pricing in incomplete market. In thispaper, we establish two models—one is about pricing futures whose underlying is tradable,while another is about pricing futures whose underlying is non-tradable. Then, we applyneutral and indifference pricing theorem in the book”Neutral and Indifference PortfolioPricing, Hedging and Investing”[18]of Srdjan Stojanovic in these two models to get thepricing PDEs. Then we can get the explicit pricing formula of the futures in incompletemarket from the pricing PDEs.In special, we give the pricing formula when these two assets have entirely positive(negative) correlation. Finally, we discuss the impact of different parameters on futurespricing.