wning a security with a guaranteed future sale price and date is (almost) 0 equivalent to a short-term investment extending to the sale date. Yet, in the Treasury bond futures market the prices seem too low to provide a fair rate of return to those who short T-bond futures. That is, the short term i
Delivery options and convexity in Treasury bond and note futures
โ Scribed by Robin Grieves; Alan J. Marcus; Adrian Woodhams
- Book ID
- 116868995
- Publisher
- Elsevier Science
- Year
- 2010
- Tongue
- English
- Weight
- 801 KB
- Volume
- 19
- Category
- Article
- ISSN
- 1058-3300
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
rity or call. As of this writing, there are over 20-issues "good" for delivery. Typically, however, only a handful of these issues are actually delivered during a particular contract month. In fact, on any given date, deliveries tend to be dominated by a single issue. These circumstances may be att
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
considerable body of literature has developed concerning the cheapest bond A to deliver against the Chicago Board of Trade Treasury Bond futures contracts. The investor who is short in this contract has the option to deliver one out of many possible bonds. A number of authors have argued that this