ptions on financial futures are relatively new financial instruments, although 0 options on commodities have been in existence since the Nineteenth Century. 'See Johnson (1982a) for a chronology of the historical developments in commodity option trading. Trading in options on nonfarm futures contrac
Analytical bounds for Treasury bond futures prices
β Scribed by Ren-Raw Chen, Shih-Kuo Yeh
- Book ID
- 113078979
- Publisher
- Springer US
- Year
- 2011
- Tongue
- English
- Weight
- 814 KB
- Volume
- 39
- Category
- Article
- ISSN
- 0924-865X
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
ommodity futures contracts have frequently allowed multiple varieties of a C commodity to be delivered . In some cases, there are objective measures of the differences in the varieties deliverable. In other cases, the exchange sets up a formula for value in delivery. These formulas may penalize some
## Abstract A closedβform pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multifactor and D. Heath, R. Jarrow, and A. Morton (1992) Gaussian framework. Such an analytical solution can be obtained through a conditioning approximation, in the s
his study provides an ex ante and expost test of market efficiency for the T options on Treasury bond futures contracts traded on the Chicago Board of Trade. All option and future contract price changes are examined from market inception, in October 1982, through the middle of June 1983 for violatio