IDEAS home Printed from
   My bibliography  Save this article

The Pricing of Options on Ninety-Day Bank Accepted Bill Futures Contracts


  • Brent, Timothy
  • Heaney, Richard


This paper examines the pricing of options on ninety-day bank accepted bill futures contracts traded on the Sydney Futures Exchange. Pricing models are compared in two situations. The first assumes log-normally distributed prices and the second assumes log-normally distributed yields. It is found that log-normal yield-based pricing models generally outperform log-normal price-based models in terms of two error metrics, mean absolute error and mean percentage error. The comparison is based on time-matched data over the period January 1993 to June 1994. Two institutional characteristics of interest are physical delivery of bills at maturity of the futures contract and margining of the option premium. Copyright 1996 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Brent, Timothy & Heaney, Richard, 1996. "The Pricing of Options on Ninety-Day Bank Accepted Bill Futures Contracts," The Manchester School of Economic & Social Studies, University of Manchester, vol. 64(0), pages 51-65, Suppl..
  • Handle: RePEc:bla:manch2:v:64:y:1996:i:0:p:51-65

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item


    Access and download statistics


    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:manch2:v:64:y:1996:i:0:p:51-65. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: .

    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.

    We have no references for this item. You can help adding them by using 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.