The mispricing of U.S. treasury callable bonds
β Scribed by Peter Carayannopoulos
- Publisher
- John Wiley and Sons
- Year
- 1995
- Tongue
- English
- Weight
- 1015 KB
- Volume
- 15
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This study presents the first examination of the value associated with longβterm U.S. Treasury bonds related to their delivery eligibility in the Treasury bond futures market. The opportunity for study has recently become possible given the reduced maturity of Treasury's noncallable bon
ecent articles on the hedging effectiyeness of interest-rate futures have fo-R cused on the relationship betpbeen futures contracts and their underlying cash instruments. Ederington (1979) examines the use of Treasury bill and GNMA futures to hedge the price risk in holding Treasury bills and GNMA c
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