๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS

โœ Scribed by Jana Hranaiova; Robert A. Jarrow; William G. Tomek


Book ID
111215479
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
129 KB
Volume
28
Category
Article
ISSN
0270-2592

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


Treasury bond futures: Valuing the deliv
โœ Marcelle Arak; Laurie S. Goodman ๐Ÿ“‚ Article ๐Ÿ“… 1987 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 932 KB

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

Options expiration effects and the role
โœ Donald Lien; Li Yang ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 93 KB

## Abstract This note examines options expiration effects in the presence of individual stock futures contracts with different settlement methods. It is found that the availability of the futures contracts attenuate the expiration effects on price volatility and trading volume of individual stocks.