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Embedded Volumetric Optionality: A New Financial Instrument Primitive 
  • Sam Bacha

Abstract

    We present a forward contract with a physical settlement date in which the contracted volume purchased . and the actual physical volume that is delivered can have optionality to the agreement in which the difference is cash-settlement. Combined with additional novel mechanisms we can establish a proper pricing index for an "average style" options contract (sometimes referred to as an "Asian" style). 
Previous work on this topic is being written as well in our piece titled, "GasEVO: A tradeable forward instrument enabling options pricing on ethereum transaction settlement