Implied volatility asymmetries in treasury bond futures options

被引：0

|

作者：

Simon, DP

机构：

[1] Department of Finance, Bentley College

来源：

JOURNAL OF FUTURES MARKETS | 1997年 / 17卷 / 08期

关键词：

D O I：

10.1002/(SICI)1096-9934(199712)17:8<873::AID-FUT2>3.0.CO;2-I

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

收藏

页码：873 / 885

页数：13

相关论文

共 50 条

[1] TREASURY BOND FUTURES - VALUING THE DELIVERY OPTIONS
ARAK, M
GOODMAN, LS
JOURNAL OF FUTURES MARKETS, 1987, 7 (03) : 269 - 286
[2] THE EARLY EXERCISE OF OPTIONS ON TREASURY BOND FUTURES
OVERDAHL, JA
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1988, 23 (04) : 437 - 449
[3] Delivery options and convexity in Treasury bond and note futures
Grieves, Robin
Marcus, Alan J.
Woodhams, Adrian
REVIEW OF FINANCIAL ECONOMICS, 2010, 19 (01) : 1 - 7
[4] Implied volatility of oil futures options surrounding OPEC meetings
Horan, SM
Peterson, JH
Mahar, J
ENERGY JOURNAL, 2004, 25 (03): : 103 - 125
[5] Synthetic Options and Implied Volatility for the Corporate Bond Market
Chen, Steven Shu-Hsiu
Doshi, Hitesh
Seo, Sang Byung
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 2023, 58 (03) : 1295 - 1325
[6] Implied volatility surface construction for commodity futures options traded in China
Xu, Wei
Evic, Aleksandar
Sevic, Zeljko
RESEARCH IN INTERNATIONAL BUSINESS AND FINANCE, 2022, 61
[7] Arbitrage-free implied volatility surfaces for options on single stock futures
Kotze, Antonie
Labuschagne, Coenraad C. A.
Nair, Merell L.
Padayachi, Nadine
NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, 2013, 26 : 380 - 399
[8] Linkages among U.S. Treasury Bond Yields, Commodity Futures and Stock Market Implied Volatility: New Nonparametric Evidence
Vychytilova, Jana
JOURNAL OF COMPETITIVENESS, 2015, 7 (03) : 143 - 158
[9] The behavior of the implied volatility surface: Evidence from crude oil futures options
Bouden, Amine
RISK MANAGEMENT AND VALUE: VALUATION AND ASSET PRICING, 2008, 3 : 151 - 175
[10] EQUILIBRIUM TREASURY BOND FUTURES PRICING IN THE PRESENCE OF IMPLICIT DELIVERY OPTIONS
GAY, GD
MANASTER, S
JOURNAL OF FUTURES MARKETS, 1991, 11 (05) : 623 - 645

← 1 2 3 4 5 →