AN EMPIRICAL-ANALYSIS OF THE DELIVERY OPTION, MARKING TO MARKET, AND THE PRICING OF TREASURY BOND FUTURES

被引：8

作者：

BENNINGA, S ^{[1
]}

SMIRLOCK, M ^{[1
]}

机构：

[1] UNIV PENN,WHARTON SCH,PHILADELPHIA,PA 19104

来源：

JOURNAL OF FUTURES MARKETS | 1985年 / 5卷 / 03期

关键词：

D O I：

10.1002/fut.3990050307

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：361 / 374

页数：14

共 13 条

[1]

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REINGANUM, MR .

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[6] THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].

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INGERSOLL, JE ;

ROSS, SA .

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[7]

GARBADE K, 1981, 249 NEW YORK U SAL B

[8]

GAY G, 1984, J FINANC ECON, V12, P353

[9] FORWARD CONTRACTS AND FUTURES CONTRACTS [J].

JARROW, RA ;

OLDFIELD, GS .

JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (04) :373-382

[10] VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER [J].

MARGRABE, W .

JOURNAL OF FINANCE, 1978, 33 (01) :177-186

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