IDEAS home Printed from https://ideas.repec.org/a/bla/jbfnac/v22y1995i1p101-127.html

Term Structure Volatility And Bund Futures Embedded Options

Author

Listed:
  • Bing‐huei Lin
  • Dean A. Paxson

Abstract

No abstract is available for this item.

Suggested Citation

  • Bing‐huei Lin & Dean A. Paxson, 1995. "Term Structure Volatility And Bund Futures Embedded Options," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 22(1), pages 101-127, January.
    • Handle: RePEc:bla:jbfnac:v:22:y:1995:i:1:p:101-127
    DOI: 10.1111/j.1468-5957.1995.tb00674.x
    as

    Download full text from publisher

    File URL: https://doi.org/10.1111/j.1468-5957.1995.tb00674.x
    Download Restriction: no
    File URL: https://libkey.io/10.1111/j.1468-5957.1995.tb00674.x?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Robert A. Jones, 1985. "Conversion factor risk in treasury bond futures: Comment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(1), pages 115-119, March.
    2. Nelson, Daniel B & Ramaswamy, Krishna, 1990. "Simple Binomial Processes as Diffusion Approximations in Financial Models," The Review of Financial Studies, Society for Financial Studies, vol. 3(3), pages 393-430.
    3. Vasicek, Oldrich A & Fong, H Gifford, 1982. "Term Structure Modeling Using Exponential Splines," Journal of Finance, American Finance Association, vol. 37(2), pages 339-348, May.
    4. Whaley, Robert E., 1982. "Valuation of American call options on dividend-paying stocks : Empirical tests," Journal of Financial Economics, Elsevier, vol. 10(1), pages 29-58, March.
    5. Livingston, Miles, 1987. "The Delivery Option on Forward Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 79-87, March.
    6. Johnson, Herb, 1987. "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 277-283, September.
    7. repec:bla:jfinan:v:44:y:1989:i:1:p:101-13 is not listed on IDEAS
    8. Hegde, Shantaram P., 1990. "An ex post valuation of the quality option implicit in the treasury bond futures contract," Journal of Banking & Finance, Elsevier, vol. 14(4), pages 741-760, October.
    9. Turnbull, Stuart M & Milne, Frank, 1991. "A Simple Approach to Interest-Rate Option Pricing," The Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 87-120.
    10. Shantaram P. Hegde, 1989. "On the value of the implicit delivery options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 9(5), pages 421-437, October.
    11. Boyle, Phelim P. & Tse, Y. K., 1990. "An Algorithm for Computing Values of Options on the Maximum or Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(2), pages 215-227, June.
    12. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    13. Chen, Ren-Raw, 1992. "Exact Solutions for Futures and European Futures Options on Pure Discount Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(1), pages 97-107, March.
    14. Hemler, Michael L, 1990. "The Quality Delivery Option in Treasury Bond Futures Contracts," Journal of Finance, American Finance Association, vol. 45(5), pages 1565-1586, December.
    15. Johnston, Elizabeth Tashjian & McConnell, John J, 1989. "Requiem for a Market: An Analysis of the Rise and Fall of a Financial Futures Contract," The Review of Financial Studies, Society for Financial Studies, vol. 2(1), pages 1-23.
    16. Ederington, Louis H, 1979. "The Hedging Performance of the New Futures Markets," Journal of Finance, American Finance Association, vol. 34(1), pages 157-170, March.
    17. Kane, Alex & Marcus, Alan J., 1988. "The Delivery Option on Forward Contracts: A Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 337-341, September.
    18. Barnhill, Theodore M., 1990. "Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 65-86, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Alejandro Balbas & Susana Reichardt, 2010. "On the future contract quality option: a new look," Applied Financial Economics, Taylor & Francis Journals, vol. 20(15), pages 1217-1229.
    2. David C. Ling, 1993. "Mortgage‐Backed Futures and Options," Real Estate Economics, American Real Estate and Urban Economics Association, vol. 21(1), pages 47-67, March.
    3. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    4. João Pedro Vidal Nunes & Luís Alberto Ferreira De Oliveira, 2007. "Multifactor and analytical valuation of treasury bond futures with an embedded quality option," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(3), pages 275-303, March.
    5. Bing-Huei Lin & Ren-Raw Chen & Jian-Hsin Chou, 1999. "Pricing and quality option in Japanese government bond futures," Applied Financial Economics, Taylor & Francis Journals, vol. 9(1), pages 51-65.
    6. Ren-Raw Chen & Shih-Kuo Yeh, 2012. "Analytical bounds for Treasury bond futures prices," Review of Quantitative Finance and Accounting, Springer, vol. 39(2), pages 209-239, August.
    7. Balbás, Alejandro & Reichardt, Susana, 2006. "On the future contract quality option: a new look," DEE - Working Papers. Business Economics. WB wb063711, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    8. Sanjay Mansabdar & Hussain C. Yaganti, 2023. "Optimizing Hedging Effectiveness of Indian Agricultural Commodity Futures: A Simulation Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 30(1), pages 13-36, March.
    9. Michèle Breton & Ramzi Ben‐Abdallah, 2018. "Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 22-37, January.
    10. Peter Ritchken & L. Sankarasubramanian, 1995. "A Multifactor Model Of The Quality Option In Treasury Futures Contracts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 261-279, September.
    11. Weihan Li & Jin E. Zhang & Xinfeng Ruan & Pakorn Aschakulporn, 2024. "An empirical study on the early exercise premium of American options: Evidence from OEX and XEO options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1117-1153, July.
    12. repec:isu:genstf:1993010108000011461 is not listed on IDEAS
    13. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," Working Papers 94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
    14. R.C. Stapleton & Marti G. Subrahmanyam, 1999. "The Term Structure of Interest Rate-Futures Prices," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-045, New York University, Leonard N. Stern School of Business-.
    15. Martzoukos, Spiros H., 2001. "The option on n assets with exchange rate and exercise price risk," Journal of Multinational Financial Management, Elsevier, vol. 11(1), pages 1-15, February.
    16. Suresh M. Sundaresan, 2000. "Continuous‐Time Methods in Finance: A Review and an Assessment," Journal of Finance, American Finance Association, vol. 55(4), pages 1569-1622, August.
    17. Sandra Peterson & Richard C. Stapleton & Marti G. Subrahmanyam, 1999. "The Valuation of American-Style Swaptions in a Two-factor Spot-Futures Model," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-078, New York University, Leonard N. Stern School of Business-.
    18. Jack S. K. Chang & Jean C. H. Loo & Carolyn C. Wu Chang, 1990. "The Pricing Of Futures Contracts And The Arbitrage Pricing Theory," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 13(4), pages 297-306, December.
    19. Chen, Andrew H. & Kensinger, John W. & Conover, James A., 1998. "Valuing Flexible Manufacturing Facilities as Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 651-674.
    20. Philippe Raimbourg & Paul Zimmermann, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," Post-Print hal-04011013, HAL.
    21. Xun Li & Zhenyu Wu, 2006. "A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets," Annals of Finance, Springer, vol. 2(2), pages 179-205, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jbfnac:v:22:y:1995:i:1:p:101-127. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0306-686X .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.