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A Simple Approach To Valuing The Delivery Options Implicit In The Us Treasury Bond Futures Contract
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Book Synopsis A Simple Approach to Valuing the Delivery Options Implicit in the US Treasury Bond Futures Contract by : Greg A. Anderson
Download or read book A Simple Approach to Valuing the Delivery Options Implicit in the US Treasury Bond Futures Contract written by Greg A. Anderson and published by . This book was released on 1998 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Implicit Delivery Options and Optimal Delivery Strategies for Financial Futures Contracts by : Gerald D. Gay
Download or read book Implicit Delivery Options and Optimal Delivery Strategies for Financial Futures Contracts written by Gerald D. Gay and published by . This book was released on 1984 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Method of Valuing the Treasury Bond Futures Contract by : Hugh Cohen
Download or read book A Method of Valuing the Treasury Bond Futures Contract written by Hugh Cohen and published by . This book was released on 1990 with total page 112 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuing Bond Futures and the Quality Option by : Peter Carr
Download or read book Valuing Bond Futures and the Quality Option written by Peter Carr and published by . This book was released on 1988 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation of the Quality and the Switching Options and Their Impact on Treasury Bond Futures Prices by : Theodore M. Barnhill
Download or read book Valuation of the Quality and the Switching Options and Their Impact on Treasury Bond Futures Prices written by Theodore M. Barnhill and published by . This book was released on 1987 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market by : Alex Kane
Download or read book Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market written by Alex Kane and published by . This book was released on 1985 with total page 20 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p.m. when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p.m. and that trading in Treasury bonds car, occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p.m., the short has the option of settling the contract at a favorable 2:00 p.m. price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the "wild card option." This paper presents avaluation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise
Book Synopsis A New Method for Valuing Treasury Bond Futures Options by : Ehud I. Ronn
Download or read book A New Method for Valuing Treasury Bond Futures Options written by Ehud I. Ronn and published by Cfa Inst. This book was released on 1992 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Implicit Delivery Options in Futures Contracts and Optimal Exercise Strategy by : Roger D. Silk
Download or read book Implicit Delivery Options in Futures Contracts and Optimal Exercise Strategy written by Roger D. Silk and published by . This book was released on 1988 with total page 292 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market by : Alex Kane
Download or read book Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market written by Alex Kane and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p.m. when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p.m. and that trading in Treasury bonds car, occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p.m., the short has the option of settling the contract at a favorable 2:00 p.m. price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the quot;wild card option.quot; This paper presents avaluation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise.
Book Synopsis An Empirical Analysis of the Treasury Bond Futures Market by : Karin Peterson LaBarge
Download or read book An Empirical Analysis of the Treasury Bond Futures Market written by Karin Peterson LaBarge and published by . This book was released on 1986 with total page 362 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pricing the CBOT T-Bonds Futures by : Ramzi Ben-Abdallah
Download or read book Pricing the CBOT T-Bonds Futures written by Ramzi Ben-Abdallah and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to investigate the theoretical and empirical pricing of the Chicago Board of Trade (CBOT) Treasury-bond futures. The difficulty to price it arises from its multiple interdependent embedded delivery options, which can be exercised at various times and dates during the delivery month. We consider a continuous-time model with a continuous underlying factor (the interest rate), moving according to a Markov diffusion process consistent with the no-arbitrage principle. We propose a numerical pricing model that can handle all the delivery rules embedded in the CBOT T-bond futures, interpreted here as an American-style interest-rate derivative. Our pricing procedure combines dynamic programming, finite-elements approximation, analytical integration and fixed-point evaluation. Numerical illustrations, provided under the Vasicek (1977) and Cox-Ingesoll-Ross (1985) models, show that the interaction between the quality and timing options in a stochastic environment makes the delivery strategies complex, and not easy to characterize. We also carry out an empirical investigation of the market in order to verify whether short traders in futures contracts are exercising the strategic delivery options skillfully and optimally or if they are under-utilizing them. To do so, we price the futures contract under the Hull-White (1990) model. Empirical results show that futures prices are generally undervalued, which means that the market overvalues the embedded delivery options. According to our findings, observed futures prices are on average 2% lower than theoretical futures prices over the 1990-2008 time period, priced two months prior to the first day of delivery months.
Book Synopsis An Examination of Deliveries in the Treasury Bond Futures Contract by : Karin Peterson LaBarge
Download or read book An Examination of Deliveries in the Treasury Bond Futures Contract written by Karin Peterson LaBarge and published by . This book was released on 1989 with total page 19 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis CBOT Financial Instruments Guide by :
Download or read book CBOT Financial Instruments Guide written by and published by . This book was released on 1999 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Delivery Options and Convexity in Treasury Bond and Note Futures by : Robin Grieves
Download or read book Delivery Options and Convexity in Treasury Bond and Note Futures written by Robin Grieves and published by . This book was released on 2008 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Using Treasury bond and note futures to hedge fixed income portfolios is complicated by the large number of bonds that are eligible to deliver against the contract. Grieves and Marcus (2005) show that in some circumstances, only two bonds - those with the highest and the lowest durations - are relevant for the hedging problem, which makes computation of analytic hedge ratios tractable. We evaluate the empirical efficacy of their two-relevant-bond model. We compare the maturities of actual cheapest-to-deliver bonds to the prediction of the two-deliverable model, and calculate empirical price-values-of-a-basis-point for Treasury futures contracts to determine whether contract prices display the negative convexity predicted by the model. The model worked very well for the note contract and very poorly for the bond contract. We show that the difference in model performance is related to the shape of the yield curve.
Book Synopsis The Quality Delivery Option in Treasury Bond Futures Contracts by : Michael Lee Hemler
Download or read book The Quality Delivery Option in Treasury Bond Futures Contracts written by Michael Lee Hemler and published by . This book was released on 1988 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Valuation of Options of Treasury Bond Futures Contracts by : Wan-Sun Han
Download or read book The Valuation of Options of Treasury Bond Futures Contracts written by Wan-Sun Han and published by . This book was released on 1987 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option by : Luís Oliveira
Download or read book Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option written by Luís Oliveira and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multi-factor and Gaussian Heath, Jarrow, and Morton (1992) framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of Curran (1994) and Rogers and Shi (1995), or via a rank 1 approximation, following Brace and Musiela (1994). Monte Carlo simulations show that both approximations are accurate and easy to calculate. Application of the proposed pricing model to the EUREX market (from May 1999 through September 2001) yields a remarkable fit and an insignificant estimate of the quality option magnitude. On average, this delivery option accounts for only 0.05% of the futures prices.
