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An empirical analysis of implicit delivery options in the treasury bond futures contract

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References

1981The relation between forward prices and futures prices740 cited
1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets183 cited
1984The quality option implicit in futures contracts92 cited
1984Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market73 cited
1986The quality option in the treasury bond futures market: An empirical assessment55 cited
1986Implicit delivery options and optimal delivery strategies for financial futures contracts54 cited
1986Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market50 cited
1982Difference Systems in Financial Futures Markets45 cited

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2010Why do expiring futures and cash prices diverge for grain markets?30 cited
2004A survey on physical delivery versus cash settlement in futures contracts25 cited
2022Asset Pricing with Cohort‐Based Trading in MBS Markets22 cited

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