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The cheapest deliverable bond for the cbt treasury bond futures contract · Study

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ArticleThe cheapest deliverable bond for the cbt treasury bond futures contract

Miles B. Livingston1984

Article1984

The cheapest deliverable bond for the cbt treasury bond futures contract

Miles B. Livingston

16 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Credit Risk and Financial Regulations

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References

1983Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts 1979Treasury Bill Pricing in the Spot and Futures Markets 1982Difference Systems in Financial Futures Markets 1982Flattening of Bond Yield Curves for Long Maturities

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1987The Delivery Option on Forward Contractsarticle · 2 shared references 2004A survey on physical delivery versus cash settlement in futures contractsarticle · 2 shared references 1990An ex post valuation of the quality option implicit in the treasury bond futures contractarticle · 2 shared references 1985An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futuresarticle · 2 shared references 2002Delivery risk and the hedging role of optionsarticle · 2 shared references 1990Delivery Uncertainty and the Efficiency of Futures Marketsarticle · 2 shared references

Details

Year1984

Typearticle

Published1984-06-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations16

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990040207

openalex_workW2050868812

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