OPTION EXPIRATIONS AND TREASURY BOND FUTURES PRICES

被引：6

|

作者：

BHATTACHARYA, AK

机构：

来源：

JOURNAL OF FUTURES MARKETS | 1987年 / 7卷 / 01期

关键词：

D O I：

10.1002/fut.3990070106

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：49 / 64

页数：16

相关论文

共 50 条

[31] Multifractal measures for bond futures prices in futures exchange market
Kim, K
Yoon, SM
JOURNAL OF THE PHYSICAL SOCIETY OF JAPAN, 2004, 73 (01) : 49 - 52
[32] THE PREPAYMENT OPTION IN THE GNMA-TREASURY BOND SPREAD
MILONAS, NT
HOUSING FINANCE REVIEW, 1987, 6 (04): : 261 - 278
[33] Bond and option prices with permanent shocks
Al-Zoubi, Haitham A.
JOURNAL OF EMPIRICAL FINANCE, 2019, 53 : 272 - 290
[34] OPTIMAL EXERCISE OF THE SWITCHING OPTION IN TREASURY BOND ARBITRAGES
BARNHILL, TM
SEALE, WE
JOURNAL OF FUTURES MARKETS, 1988, 8 (05) : 517 - 532
[35] Embedded theoretical quality option pricing in Treasury bond futures-Starting from the definition deviation of conversion factor
Yang, Xiaofeng
Zhao, Ling
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2024,
[36] HEDGING MORTGAGE-BACKED SECURITIES WITH TREASURY BOND FUTURES
BATLIN, CA
JOURNAL OF FUTURES MARKETS, 1987, 7 (06) : 675 - 693
[37] Cojumping: Evidence from the US Treasury bond and futures markets
Dungey, Mardi
Hvozdyk, Lyudmyla
JOURNAL OF BANKING & FINANCE, 2012, 36 (05) : 1563 - 1575
[38] The simulation of option prices with application to LIFFE options on futures
Christodoulakis, GA
Satchell, SE
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1999, 114 (02) : 249 - 262
[39] A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method
Wang, Susheng
Yu, Yongrui
Liu, Huimin
PROCEEDINGS OF THE 2015 INTERNATIONAL CONFERENCE ON ENGINEERING MANAGEMENT, ENGINEERING EDUCATION AND INFORMATION TECHNOLOGY, 2015, 36 : 309 - 315
[40] How trading in commodity futures option markets impacts commodity futures prices
Luo, Xingguo
Lin, Yuting
Yu, Xiaoli
He, Feng
JOURNAL OF FUTURES MARKETS, 2021, 41 (08) : 1333 - 1347

← 1 2 3 4 5 →