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Mortgage-Backed Futures and Options

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  • David C. Ling
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    Abstract

    This paper empirically tests valuation models for the mortgage-backed futures-options contracts that traded on the Chicago Board of Trade (CBOT) from June of 1989 until March of 1992. A simple contingent-claim model is shown to produce call option values on mortgage-backed futures (MBF) contracts that are unbiased estimates of actual futures-options prices. The ability of the MBF contract to hedge positions in current coupon Government National Mortgage Association (GNMA) securities relative to the effectiveness of cross-hedging GNMA positions with T-note and T-bond futures contracts is also examined. Copyright American Real Estate and Urban Economics Association.

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    Bibliographic Info

    Article provided by American Real Estate and Urban Economics Association in its journal Real Estate Economics.

    Volume (Year): 21 (1993)
    Issue (Month): 1 ()
    Pages: 47-67

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    Handle: RePEc:bla:reesec:v:21:y:1993:i:1:p:47-67

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