Article1990

Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk Management in Financial Firms

Abstract

Theodore M. Barnhill, Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices, The Journal of Financial and Quantitative Analysis, Vol. 25, No. 1 (Mar., 1990), pp. 65-86

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1986The theory and practice of econometrics 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency 1982The Pricing of Options on Default-Free Bonds 1980The Pricing of Options on Debt Securities 1984The quality option implicit in futures contracts 1983Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts 1986The quality option in the treasury bond futures market: An empirical assessment

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