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Hemler, 1990 - Google Patents

The quality delivery option in Treasury bond futures contracts

Hemler, 1990

Document ID
4263558031617395659
Author
Hemler M
Publication year
Publication venue
The Journal of Finance

External Links

Snippet

This paper uses three methods to estimate quality option values for CBOT Treasury bond futures contracts. It presents evidence regarding:(1) payoffs from exercising this option at delivery,(2) estimates from a T‐bond futures pricing model that incorporates this option, and …
Continue reading at onlinelibrary.wiley.com (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
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