Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Financial Economics.
Volume (Year): 46 (1997)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/locate/inca/505576
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Amihud, Yakov & Mendelson, Haim, 1991. " Liquidity, Maturity, and the Yields on U.S. Treasury Securities," Journal of Finance, American Finance Association, vol. 46(4), pages 1411-25, September.
- Jordan, Bradford D. & Jordan, Susan D. & Jorgensen, Randy D., 1995. "A reexamination of option values implicit in callable Treasury bonds," Journal of Financial Economics, Elsevier, vol. 38(2), pages 141-162, June.
- Garbade, Kenneth D & Silber, William L, 1976. "Price Dispersion in the Government Securities Market," Journal of Political Economy, University of Chicago Press, vol. 84(4), pages 721-40, August.
- Francis A. Longstaff, 2004.
"The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices,"
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University of Chicago Press, vol. 77(3), pages 511-526, July.
- Francis A. Longstaff, 2002. "The Flight-to-Liquidity Premium in U.S. Treasury Bond Prices," NBER Working Papers 9312, National Bureau of Economic Research, Inc.
- Ioffe, Ioulia D., 2002. "Arbitrage bounds in markets with noisy prices and the puzzle of negative option prices implicit in bonds," Journal of Banking & Finance, Elsevier, vol. 26(6), pages 1199-1228, June.
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