ESTIMATING THE VALUE OF DELIVERY OPTIONS IN FUTURES CONTRACTS
โ 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.
๐ SIMILAR VOLUMES
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
## 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.