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Author : Peter Carr
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.E/5 ( download)
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:
Author : Theodore M. Barnhill
Publisher :
ISBN 13 :
Total Pages : 52 pages
Book Rating : 4.0/5 ( download)
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:
Author : Simon Benninga
Publisher :
ISBN 13 :
Total Pages : 21 pages
Book Rating : 4.:/5 (119 download)
Download or read book The Pricing of Treasury Bond Futures written by Simon Benninga and published by . This book was released on 1984 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Luís Oliveira
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
Author : Hugh Cohen
Publisher :
ISBN 13 :
Total Pages : 112 pages
Book Rating : 4.E/5 ( download)
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:
Author : 吳國賢
Publisher :
ISBN 13 :
Total Pages : 144 pages
Book Rating : 4.:/5 (464 download)
Download or read book The Valuation of T-bond Futures with the Quality Option written by 吳國賢 and published by . This book was released on 1996 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wan-Sun Han
Publisher :
ISBN 13 :
Total Pages : 284 pages
Book Rating : 4.:/5 (175 download)
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:
Author : Theodore M. Barnhill
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.0/5 ( download)
Download or read book Perspectives on Selection of the Optimal Cash Bond for Arbitraging Against the Treasury Bond Futures Contract written by Theodore M. Barnhill and published by . This book was released on 1986 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carla J. Ponn
Publisher :
ISBN 13 :
Total Pages : 92 pages
Book Rating : 4.:/5 (14 download)
Download or read book The Valuation of Options on Treasury Bond Futures written by Carla J. Ponn and published by . This book was released on 1985 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Karin Peterson LaBarge
Publisher :
ISBN 13 :
Total Pages : 362 pages
Book Rating : 4.:/5 (29 download)
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:
Author : Alex Kane
Publisher :
ISBN 13 :
Total Pages : 20 pages
Book Rating : 4.:/5 (132 download)
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
Author : Ehud I. Ronn
Publisher : Cfa Inst
ISBN 13 : 9780943205151
Total Pages : 21 pages
Book Rating : 4.2/5 (51 download)
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:
Author : Greg A. Anderson
Publisher :
ISBN 13 : 9781877176364
Total Pages : 31 pages
Book Rating : 4.1/5 (763 download)
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:
Author : Shang-Wu Yu
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)
Download or read book Quality Options and Hedging in Japanese Government Bond Futures Markets written by Shang-Wu Yu and published by . This book was released on 1994 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Chin-Wen Hsin
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (774 download)
Download or read book Default-free Bond Futures and Options on Default-free Bond Futures: Theoretical and Empirical Investigation written by Chin-Wen Hsin and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This study investigates the pricing behaviors of default-free bond futures and American options on default-free bond futures based on the framework of Brennan and Schwartz (1979). In their model, the state space of interest-rate-dependent claims is spanned by the instantaneous spot interest rate and the long-term consol rate. This design is chosen to incorporate the features of interest-rate-dependent claims and to avoid inconsistencies in other pricing models for general assets. This study assumes that the logarithm of these two factors follow a linear transformation of an Ornstein-Uhlenbeck process. The prices of these contingent claims are solutions to a set of partial different equations subject to proper boundary conditions. As there is no closed form solutions to these equations, a finite-difference method, line-hopscotch method, is employed. To implement the pricing model, one has to empirically estimate (i) the parameters in the interest rate processes and (ii) the risk premium parameter associated with the short spot rate. An exact discrete time model is derived such that one can use discrete time empirical data to estimate parameters in the continuous interest rate processes. Maximum likelihood estimation results show that the parameter estimates are affected by the choice of proxy variable, sample period and the size of sampling interval. It is most obvious fort those parameters in the short rate process. The model prices of default-free bonds, default-free bond futures and options on default-free bond futures are solved successively by the numerical method. The empirical results indicate insignificant pricing errors for Treasury bond futures. However, the model does not perform well for pricing options on T-bond futures. A sensitivity analysis is conducted. It suggests that the long rate process is important in determining the pricing behavior of these claims. Also, the long rate affects the security prices differently than the short rate does.
Author : Hugh Cohen
Publisher :
ISBN 13 :
Total Pages : 208 pages
Book Rating : 4.E/5 ( download)
Download or read book Testing Pricing Models for the Treasury Bond Futures Contract written by Hugh Cohen and published by . This book was released on 1991 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Ramzi Ben-Abdallah
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
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.
