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Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices
13 references·0 citing·45 second hop
Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices (1990)Quality Option Profits, Switching Option …Treasury bond futures: Valuing the delivery options (1987)Treasury bond futures: Valuin…The Delivery Option on Forward Contracts (1987)The Delivery Option on Forwar…Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market (1986)Valuation and Optimal Exercis…The theory and practice of econometrics (1986)The theory and practice of ec…The quality option in the treasury bond futures market: An empirical assessment (1986)The quality option in the tre…Implicit delivery options and optimal delivery strategies for financial futures contracts (1986)Implicit delivery options and…The quality option implicit in futures contracts (1984)The quality option implicit i…Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts (1983)Futures Contracts on Commodit…The Pricing of Options on Default-Free Bonds (1982)The Pricing of Options on Def…Are there arbitrage opportunities in the treasury‐bond futures market? (1982)Are there arbitrage opportuni…An Equilibrium Model of Bond Pricing and a Test of Market Efficiency (1982)An Equilibrium Model of Bond …The Pricing of Options on Debt Securities (1980)The Pricing of Options on Deb…THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)THE VALUE OF AN OPTION TO EXC…Risk, Return, and Equilibrium: Empirical Tests (1973)The Pricing of Options and Corporate Liabilities (1973)A Theory of the Term Structure of Interest Rates (1985)Two-Person Dynamic Equilibrium in the Capital Market (1989)Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Stochastic Volatility Option Pricing (1994)A Treatise on Money (1971)The pricing of commodity contracts (1976)The Quality Option and Timing Option in Futures Contracts (1989)The Quality Delivery Option in Treasury Bond Futures Contracts (1990)Day-of-the-Week Effects in Financial Futures: An Analysis of GNMA, T-Bond, T-Note, and T-Bill Contracts (1991)A New Approach to Consumer Theory (1976)An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futures (1985)An ex post valuation of the quality option implicit in the treasury bond futures contract (1990)A survey on physical delivery versus cash settlement in futures contracts (2004)Theory of rational option pricing (2005)A continuous time equilibrium model of forward prices and futures prices in a multigood economy (1981)Forward contracts and futures contracts (1981)The relation between forward prices and futures prices (1981)The impact of delivery options on futures prices: A survey (1993)The Value of Wildcard Options (1994)Early option exercise: Never say never (2016)Measuring the Term Structure of Interest Rates (1971)THE TAX‐ADJUSTED YIELD CURVE (1975)On the pricing of contingent claims and the Modigliani-Miller theorem (1977)Economic Risk Premia in the Fixed Income Markets: The Intra-Day Evidence (2012)An equilibrium characterization of the term structure (1977)Two-State Option Pricing (1979)CREDIT RISK, CREDIT RATINGS, AND MUNICIPAL BOND YIELDS: A PANEL STUDY (1991)Energy price risk management (2000)A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models (2001)Trading costs for listed options (1980)An empirical analysis of implicit delivery options in the treasury bond futures contract (1988)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Valuation of American Futures Options: Theory and Empirical Tests (1986)Pricing Interest Rate Options in a Two-Factor Cox–Ingersoll–Ross model of the Term Structure: Table 1 (1992)Is the Short Rate Drift Actually Nonlinear? (2000)An Intertemporal Capital Asset Pricing Model (1973)Theory of Rational Option Pricing (1973)Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Changes of numéraire, changes of probability measure and option pricing (1995)Arbitrage Theory in Continuous Time (2004)Asset pricing and the bid-ask spread (1986)The Effect of National Culture on the Choice of Entry Mode (1988)Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data (1998)
this work references cited by second hop

References

  • 1986The theory and practice of econometrics4,342 cited
  • 1978THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER1,740 cited
  • 1982An Equilibrium Model of Bond Pricing and a Test of Market Efficiency373 cited
  • 1982The Pricing of Options on Default-Free Bonds239 cited
  • 1980The Pricing of Options on Debt Securities173 cited
  • 1984The quality option implicit in futures contracts92 cited
  • 1983Futures Contracts on Commodities with Multiple Varieties: An Analysis of Premiums and Discounts71 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
  • 1987The Delivery Option on Forward Contracts27 cited
  • 1987Treasury bond futures: Valuing the delivery options21 cited
  • 1982Are there arbitrage opportunities in the treasury‐bond futures market?21 cited

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