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

← 1 2 3 4 5 →