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On the value of the implicit delivery options

✍ Scribed by Shantaram P. Hegde

Publisher
John Wiley and Sons
Year
1989
Tongue
English
Weight
962 KB
Volume
9
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

✦ Synopsis

On the Value of the Implicit Delivery Options Shantaram P. Hegde 'Livingston (1987) argues that the value of the quality delivery option is close to zero in perfect and frictionless markets, but he does not provide empirical estimates of this value, The findings rrported later in this study indicate that the value of the delivery options is on average small but positive. I wish to acknowledge helpful comments by John Affleck-Graves. Carmelo Gimtto, Miles Livingston, two anonymous referees of thii Journal, and participants in the Notre Dame finance seminar. Mike Fagan provided excellent programming assistance. Any remaining errors are, of course, my responsibility. ?his estimation pmedure assumes that the net effect of marking the futures position to market is negligible (see section I). Shantaram P. Hegde i s an Assistant Professor in the Department of Finame at the University of Notre D a m .

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