Analytical bounds for Treasury bond futures prices
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- 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.
More about this item
KeywordsTreasury bond futures; Delivery options; Cox-Ingersoll-Ross model; Bounds; G13;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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