An investigation of cheapest-to-deliver on Treasury bond futures contracts
نویسندگان
چکیده
منابع مشابه
Delivery Options and Treasury Bond Futures Hedge Ratios
D erivatives such as futures contracts on Treasury bonds (T-bonds) anci notes are tailorniade for hedging interest-rate risk, and in priticiple, computation of an optimal hedge ratio should be easy. The risk-minimizing number oi contracts is obtained by dividing the price value of a basis point {PVBP) ofthe underlying cash position (i.e., the change in dollar value resulting trom a I basis poin...
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A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multi-factor and Gaussian Heath, Jarrow, and Morton (1992) framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of Curran (1994) and Rogers and Shi (1995), or via a rank 1 approximation, following Brace and Musiela (1994). Mo...
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ژورنال
عنوان ژورنال: The Journal of Computational Finance
سال: 1999
ISSN: 1460-1559
DOI: 10.21314/jcf.1999.030