Treasury bond futures: Valuing the delivery options
1987; Wiley; Volume: 7; Issue: 3 Linguagem: Inglês
10.1002/fut.3990070304
ISSN1096-9934
AutoresMarcelle Arak, Laurie S. Goodman,
Tópico(s)Capital Investment and Risk Analysis
ResumoJournal of Futures MarketsVolume 7, Issue 3 p. 269-286 Article Treasury bond futures: Valuing the delivery options Marcelle Arak, Marcelle Arak Vice Presidents in the Capital Markets Analysis Department at Citicorp Investment Bank, New YorkSearch for more papers by this authorLaurie S. Goodman, Laurie S. Goodman Vice Presidents in the Capital Markets Analysis Department at Citicorp Investment Bank, New YorkSearch for more papers by this author Marcelle Arak, Marcelle Arak Vice Presidents in the Capital Markets Analysis Department at Citicorp Investment Bank, New YorkSearch for more papers by this authorLaurie S. Goodman, Laurie S. Goodman Vice Presidents in the Capital Markets Analysis Department at Citicorp Investment Bank, New YorkSearch for more papers by this author First published: June 1987 https://doi.org/10.1002/fut.3990070304Citations: 16AboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat Bibliography Arak, M., and Goodman, L. S. (1986): “How to Calculate Better T-Bond Hedge Ratios”, Futures Magazine, 15: 56–57. Arak, M., Goodman, L. S. and Ross, S.: “ The Cheapest to Deliver Bond on the Treasury Bond Futures Contract,” Advances in Futures and Options Research, Volume 1, Part B, JAI Press Inc., (1987). Gay, G. D., and Manaster, S. (1984): “The Quality Option Implicit in Futures Contracts”, Journal of Financial Economics, 13: 353–370. Gay, G. D., and Manaster, S. (1985, June): “ Implicit Delivery Options and Optimal Delivery Options Strategies for Financial Futures Contracts,” unpublished manuscript presented at the Western Finance Association meetings. Jonas, S. (1985, April): “ The Royal Flush”, Intermarket The Worldwide Futures and Options Report, 58–59. Kane, A., and Marcus, A. J. (1986a, Summer): “The Quality Option in the Treasury Bond Futures Market: An Empirical Assessment”, The Journal of Futures Markets, 6: 230–248. Kane, A., and Marcus, A. J. (1986b, March): “Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market”, Journal of Finance, 40: 195–207. Kilcollin, T. E. (1982): “Different Systems in Financial Futures Markets”, The Journal of Finance, 37: 1183–1197. O'Dea, C. (1985, April): “ The Delivery Game”, Intermarket: The Worldwide Futures and Options Report, 28–34. Citing Literature Volume7, Issue3June 1987Pages 269-286 ReferencesRelatedInformation
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