THE QUALITY OPTION AND TIMING OPTION IN FUTURES CONTRACTS

被引:30
作者
BOYLE, PP
机构
关键词
D O I
10.2307/2328277
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:101 / 113
页数:13
相关论文
共 28 条
[1]  
AFONJA B, 1972, J ROY STAT SOC B, V34, P251
[2]   TREASURY BOND FUTURES - VALUING THE DELIVERY OPTIONS [J].
ARAK, M ;
GOODMAN, LS .
JOURNAL OF FUTURES MARKETS, 1987, 7 (03) :269-286
[3]   AN EMPIRICAL-ANALYSIS OF THE DELIVERY OPTION, MARKING TO MARKET, AND THE PRICING OF TREASURY BOND FUTURES [J].
BENNINGA, S ;
SMIRLOCK, M .
JOURNAL OF FUTURES MARKETS, 1985, 5 (03) :361-374
[5]  
CHENG S, 1985, PRICING MODELS MULTI
[6]  
CHENG S, 1985, MULTIASSET CONTINGEN
[7]   OPTION PRICING - SIMPLIFIED APPROACH [J].
COX, JC ;
ROSS, SA ;
RUBINSTEIN, M .
JOURNAL OF FINANCIAL ECONOMICS, 1979, 7 (03) :229-263
[8]   THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (04) :321-346
[9]   FUTURES CONTRACTS ON COMMODITIES WITH MULTIPLE VARIETIES - AN ANALYSIS OF PREMIUMS AND DISCOUNTS [J].
GARBADE, KD ;
SILBER, WL .
JOURNAL OF BUSINESS, 1983, 56 (03) :249-272
[10]   IMPLICIT DELIVERY OPTIONS AND OPTIMAL DELIVERY STRATEGIES FOR FINANCIAL FUTURES CONTRACTS [J].
GAY, GD ;
MANASTER, S .
JOURNAL OF FINANCIAL ECONOMICS, 1986, 16 (01) :41-72