Multifactor and analytical valuation of treasury bond futures with an embedded quality option
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting
Reference40 articles.
1. (1992). Stochastic differential equations: Theory and applications. Malabar: Krieger Publishing Company.
2. Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices
3. Optimal exercise of the switching option in treasury bond arbitrages
4. & (1996). Probability and statistical inference. New York: Wiley.
5. Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option
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