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Prices of deep discount bonds and the Revenue Act of 1978: An evaluation of market response

✍ Scribed by Donald R. Fraser; R.Malcolm Richards

Book ID
116095898
Publisher
Elsevier Science
Year
1984
Tongue
English
Weight
898 KB
Volume
36
Category
Article
ISSN
0148-6195

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ike many other futures contracts, the Treasury Bond (T-Bond) futures contract L allows the holder of a short position to satisfy the contract by delivering one of the variety of T-Bonds on one of a number of delivery dates. Accordingly, the traditional approach to pricing such contracts has concentr