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Delivery Option In Futures Contracts And Basis Behavior At Contract Maturity

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  • Hranaiova, Jana
  • Tomek, William G.
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    Abstract

    Estimates of the joint value of the timing and location options in the corn futures contract on the CBOT are obtained by using a multinomial diffusion process. The estimated option values will be used in a model to explain basis behavior on the first day of the maturity month.

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    File URL: http://purl.umn.edu/21732
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    Bibliographic Info

    Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2000 Annual meeting, July 30-August 2, Tampa, FL with number 21732.

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    Date of creation: 2000
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    Handle: RePEc:ags:aaea00:21732

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    Keywords: Financial Economics; Marketing;

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    1. Frank Milne & Dilip Madan & Hersh Shefrin, 1990. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," Working Papers 1162, Queen's University, Department of Economics.
    2. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
    3. Boyle, Phelim P, 1989. " The Quality Option and Timing Option in Futures Contracts," Journal of Finance, American Finance Association, vol. 44(1), pages 101-13, March.
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