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https://www2.bc.edu/alan-marcus/papers/J_Derivatives_2005.pdf
Delivery Options and Treasury Bond Futures Hedge Ratios ROBIN GRIEVES AND ALAN J. MARCUS ROBIN GRIEVES is a senior fellow at the Nanyang Technological University, SniL^apore robiii_grieves @ yahoo.com ALAN J. MARCUS is at the Boston College. WaUace E. Carroll School of Management in C:hestiuit HiII. MA. alan.niarcus@t}c.edu
https://jod.pm-research.com/content/13/2/70
Nov 30, 2005 · Abstract. A widely used approach for calculating hedge ratios for Treasury futures contracts assumes that the contract will be settled with the currently cheapest–to–deliver note or bond.Author: Robin Grieves, Alan J. Marcus
https://www.researchgate.net/publication/247906595_Delivery_Options_and_Treasury-Bond_Futures_Hedge_Ratios
Delivery Options and Treasury–Bond Futures Hedge Ratios Article (PDF Available) in The Journal of Derivatives 13(2):70-76 · January 2005 with 142 Reads How we measure 'reads'
https://www.sciencedirect.com/science/article/pii/S1058330009000299
The PVBP derived from their model, which accounts for the delivery option, is a continuous blend of the PVBP of the two relevant deliverables. As the level of the yield curve evolves, the value of the delivery option responds continuously, implying that the futures hedge ratio …Author: Robin Grieves, Alan J. Marcus, Adrian Woodhams
https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID1159562_code260653.pdf?abstractid=1159562&mirid=1
the value of the delivery option responds continuously, implying that the futures hedge ratio is also a continuous function of yields. In contrast, methodologies limited to analysis of the currently cheapest-to-deliver bond imply discrete changes in hedge ratios as yields cross the 6 percent threshold and the identity of the CTD bond changes.Author: Robin Grieves, Alan J. Marcus, Adrian Woodhams
https://www2.bc.edu/alan-marcus/papers/RFE_2010.pdf
(2005). Delivery options and Treasury bond futures hedge ratios. Journal of Derivatives, 13, 70–76.] show that, in some circumstances, only two bonds—those with the highest and the lowest duration—are relevant for the hedging problem, which makes computation of analytic hedge ratios tractable.
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