The Quality Option and Timing Option in Futures Contracts
AbstractA method is developed for pricing the quality option in futures contracts where there are several deliverable assets. The interaction of the timing option and the quality option is examined. Numerical estimates are provided to illustrate the dependence of the quality option on the number of underlying assets. The magnitude of the timing option is examined in the case of two deliverable assets. Copyright 1989 by American Finance Association.
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Bibliographic InfoArticle provided by American Finance Association in its journal Journal of Finance.
Volume (Year): 44 (1989)
Issue (Month): 1 (March)
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- Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," Working Papers 14740, Cornell University, Department of Applied Economics and Management.
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- A. Bellier-Delienne, 2005. "Synthèse sur les Options de Livraison dans les Contrats à Terme," THEMA Working Papers 2005-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
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