The Quality Delivery Option in Treasury Bond Futures Contracts
β Scribed by Michael L. Hemler
- Book ID
- 120066356
- Publisher
- John Wiley and Sons
- Year
- 1990
- Tongue
- English
- Weight
- 419 KB
- Volume
- 45
- Category
- Article
- ISSN
- 0022-1082
- DOI
- 10.2307/2328750
No coin nor oath required. For personal study only.
π 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 A closedβform pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multifactor and D. Heath, R. Jarrow, and A. Morton (1992) Gaussian framework. Such an analytical solution can be obtained through a conditioning approximation, in the s
his study provides an ex ante and expost test of market efficiency for the T options on Treasury bond futures contracts traded on the Chicago Board of Trade. All option and future contract price changes are examined from market inception, in October 1982, through the middle of June 1983 for violatio