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Analytical bounds for Treasury bond futures prices

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  • Ren-Raw Chen

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  • Shih-Kuo Yeh

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Abstract

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Suggested Citation

  • 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.
  • Handle: RePEc:kap:rqfnac:v:39:y:2012:i:2:p:209-239
    DOI: 10.1007/s11156-011-0247-y
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    References listed on IDEAS

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    1. Peter Ritchken & L. Sankarasubramanian, 1992. "Pricing the Quality Option In Treasury Bond Futures," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 197-214.
    2. Gay, Gerald D. & Manaster, Steven, 1986. "Implicit delivery options and optimal delivery strategies for financial futures contracts," Journal of Financial Economics, Elsevier, vol. 16(1), pages 41-72, May.
    3. Jagannathan, Ravi & Kaplin, Andrew & Sun, Steve, 2003. "An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption prices," Journal of Econometrics, Elsevier, vol. 116(1-2), pages 113-146.
    4. Jamshidian, Farshid, 1989. " An Exact Bond Option Formula," Journal of Finance, American Finance Association, vol. 44(1), pages 205-209, March.
    5. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
    6. Chen, Ren-Raw & Yeh, Shih-Kuo, 2002. "Analytical Upper Bounds for American Option Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 37(01), pages 117-135, March.
    7. Turnbull, Stuart M & Milne, Frank, 1991. "A Simple Approach to Interest-Rate Option Pricing," Review of Financial Studies, Society for Financial Studies, vol. 4(1), pages 87-120.
    8. Vasicek, Oldrich, 1977. "An equilibrium characterization of the term structure," Journal of Financial Economics, Elsevier, vol. 5(2), pages 177-188, November.
    9. Vasicek, Oldrich Alfonso, 1977. "Abstract: An Equilibrium Characterization of the Term Structure," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 12(04), pages 627-627, November.
    10. Langetieg, Terence C, 1980. " A Multivariate Model of the Term Structure," Journal of Finance, American Finance Association, vol. 35(1), pages 71-97, March.
    11. Kilcollin, Thomas Eric, 1982. " Difference Systems in Financial Futures Markets," Journal of Finance, American Finance Association, vol. 37(5), pages 1183-1197, December.
    12. Livingston, Miles, 1987. "The Delivery Option on Forward Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(01), pages 79-87, March.
    13. Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-135, September.
    14. Boyle, Phelim P, 1989. " The Quality Option and Timing Option in Futures Contracts," Journal of Finance, American Finance Association, vol. 44(1), pages 101-113, March.
    15. 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.
    16. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
    17. 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.
    18. Longstaff, Francis A & Schwartz, Eduardo S, 1992. " Interest Rate Volatility and the Term Structure: A Two-Factor General Equilibrium Model," Journal of Finance, American Finance Association, vol. 47(4), pages 1259-1282, September.
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    Cited by:

    1. 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

    Keywords

    Treasury bond futures; Delivery options; Cox-Ingersoll-Ross model; Bounds; G13;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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