Time is money: An empirical investigation of delivery behavior in the U.S. T-Bond futures market-Reference-Cited by-同舟云学术

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Time is money: An empirical investigation of delivery behavior in the U.S. T-Bond futures market

Published:2017-07-11 Issue:1 Volume:38 Page:22-37
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:Jrl Fut Mark

Author:

Breton Michèle¹^ORCID,Ben-Abdallah Ramzi²

Affiliation:

1. HEC Montréal; Montréal Canada

2. UQAM School of Management; Montréal Canada

Funder

Natural Sciences and Engineering Research Council of Canada

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Reference26 articles.

1. Quality option profits, switching option profits, and variation margin costs: An evaluation of their size and impact on Treasury bond futures prices;Barnhill;Journal of Financial and Quantitative Analysis,1990

2. Optimal exercise of the switching option in Treasury bond arbitrages;Barnhill;Journal of Futures Markets,1988

3. To squeeze or not to squeeze? That is no longer the question;Ben-Abdallah;Journal of Futures Markets,2016

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

5. An analysis of the True Notional bond system applied to the CBOT T-Bonds futures;Ben-Abdallah;Journal of Banking & Finance,2009

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

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. Corn Futures Deliveries: Why? When? So What?;SSRN Electronic Journal;2021

3. Application of machine learning algorithm and static model of interest rate curve in futures analysis;Journal of Intelligent & Fuzzy Systems;2020-10-21

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