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The quality option implicit in futures contracts

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  • Gay, Gerald D.
  • Manaster, Steven

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  • Gay, Gerald D. & Manaster, Steven, 1984. "The quality option implicit in futures contracts," Journal of Financial Economics, Elsevier, vol. 13(3), pages 353-370, September.
    • Handle: RePEc:eee:jfinec:v:13:y:1984:i:3:p:353-370
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    Cited by:

    1. Francesca Biagini & Tomas Björk, 2007. "On The Timing Option In A Futures Contract," Mathematical Finance, Wiley Blackwell, vol. 17(2), pages 267-283, April.
    2. repec:dau:papers:123456789/9850 is not listed on IDEAS
    3. Anne E. Peck & Jeffrey C. Williams, 1992. "Deliveries on Commodity Futures Contracts," The Economic Record, The Economic Society of Australia, vol. 68(S1), pages 63-74, December.
    4. Pirrong, Craig, 2017. "The economics of commodity market manipulation: A survey," Journal of Commodity Markets, Elsevier, vol. 5(C), pages 1-17.
    5. 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.
    6. Feunou Bruno & Tafolong Ernest, 2015. "Fourier inversion formulas for multiple-asset option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(5), pages 531-559, December.
    7. Sanjay Mansabdar & Hussain C Yaganti, 2020. "Valuing the quality option in agricultural commodity futures: a Monte Carlo simulation based approach," Papers 2006.11222, arXiv.org.
    8. Kenneth Barbade & Paul Bennett & John Kambhu, 2000. "Enhancing the liquidity of U.S. Treasury securities in an era of surpluses," Economic Policy Review, Federal Reserve Bank of New York, issue Apr, pages 89-119.
    9. 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.
    10. Kane, Alex & Marcus, Alan J, 1986. "Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market," Journal of Finance, American Finance Association, vol. 41(1), pages 195-207, March.
    11. Grieves, Robin & Marcus, Alan J. & Woodhams, Adrian, 2010. "Delivery options and convexity in Treasury bond and note futures," Review of Financial Economics, Elsevier, vol. 19(1), pages 1-7, January.
    12. Adam-Müller, Axel F. A. & Wong, Kit Pong, 2002. "The impact of delivery risk on optimal production and futures hedging," CoFE Discussion Papers 02/08, University of Konstanz, Center of Finance and Econometrics (CoFE).
    13. 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.
    14. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, vol. 77(1), pages 171-218, July.
    15. Kristoffer Lindensjö, 2016. "The End of the Month Option and Other Embedded Options in Futures Contracts," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 23(1), pages 69-83, March.
    16. Paul Bennett & Kenneth Garbade & John Kambhu, 1999. "Enhancing the Liquidity of U.S. Treasury Securities in an Era of Surpluses," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-083, New York University, Leonard N. Stern School of Business-.
    17. Christopher L. Gilbert, 2021. "Regional premiums in nonferrous metals markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(11), pages 1693-1714, November.
    18. Robin Grieves & Alan J. Marcus & Adrian Woodhams, 2010. "Delivery options and convexity in Treasury bond and note futures," Review of Financial Economics, John Wiley & Sons, vol. 19(1), pages 1-7, January.
    19. 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.

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