| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w1614
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| 来源ID | Working Paper 1614
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| Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market |
| Alex Kane; Alan J. Marcus
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| 发表日期 | 1985-05-01
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| 出版年 | 1985
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| 语种 | 英语
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| 摘要 | The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p.m. when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p.m. and that trading in Treasury bonds car, occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p.m., the short has the option of settling the contract at a favorable 2:00 p.m. price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the "wild card option." This paper presents avaluation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise. |
| 主题 | Macroeconomics
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| URL | https://www.nber.org/papers/w1614
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558856
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推荐引用方式
GB/T 7714 |
Alex Kane,Alan J. Marcus. Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market. 1985.
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文件名：
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w1614.pdf
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格式：
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Adobe PDF
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