An ex post valuation of the quality option implicit in the treasury bond futures contract

Author:

Hegde Shantaram P.

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference26 articles.

1. Treasury bond futures: Valuing the delivery options;Arak;Journal of Futures Markets,1987

2. The delivery option on forward contracts: A comment;Barnhill;Journal of Financial and Quantitative Analysis,1988

3. An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futures;Benninga;The Journal of Futures Markets,1985

4. The pricing of options and corporate liabilities;Black;Journal of Political Economy,1973

5. The quality option and the timing option in futures contracts;Boyle,1988

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1. Embedded theoretical quality option pricing in Treasury bond futures—Starting from the definition deviation of conversion factor;International Journal of Finance & Economics;2024-05-22

2. Analytical Bounds for Treasury Bond Futures Prices;Handbook of Financial Econometrics and Statistics;2014-08-09

3. On the Implied Volatility Layers Under the Future Risk-Free Rate Uncertainty;SSRN Electronic Journal;2013

4. Pricing the Chicago Board of Trade T-Bond futures;Quantitative Finance;2012-11

5. Analytical bounds for Treasury bond futures prices;Review of Quantitative Finance and Accounting;2011-09-04

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