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https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1990.tb03728.x
This paper uses three methods to estimate quality option values for CBOT Treasury bond futures contracts. It presents evidence regarding: (1) payoffs from exercising this option at delivery, (2) estimates from a T‐bond futures pricing model that incorporates this option, and (3) estimates obtained from an exchange option pricing formula.Author: Michael L. Hemler
https://www.jstor.org/stable/2328750
U.S. Treasury bond futures contracts, i.e., the short's right to deliver any T-bond issue that is at least 15 years from maturity or first call. There are good reasons for focusing on this particular quality option. First, the CBOT Treasury bond contract is the most actively traded and widely used futures contract in …
https://www.investopedia.com/terms/d/deliveryoption.asp
May 26, 2018 · A delivery option is a feature added to some interest rate futures contracts. The delivery option permits the option seller to determine the timing, location, quantity, quality, and the wildcard features of the underlying commodity, which is set to be delivered. Delivery option terms are stated in the delivery notice.
https://ideas.repec.org/a/bla/jfinan/v45y1990i5p1565-86.html
This paper uses three methods to estimate quality option values for Chicago Board of Trade Treasury bond futures contracts. It presents evidence regarding payoffs from exercising this option at delivery, estimates from a T-bond futures pricing model that incorporates this option, and estimates obtained from an exchange option pricing formula.
https://faculty.fordham.edu/rchen/quality.pdf
The quality option gives the short position the opportunity to deliver any US Treasury bond that has at least fifteen years to maturity or first call. Currently, more than thirty bonds, widely varying in coupon, callability and maturity, meet these criteria. The empirical evidence suggests that it is extremely difficult to predict which bond will be
https://pdfs.semanticscholar.org/17db/17ab80184917a93919ecd2e04a5a565754cd.pdf
2.0 The Treasury Bond Futures Contract . The asset underlying the CBOT Treasury Bond Futures contract is a T-Bond with face value of $100,000 and a ‘notional’ coupon rate of 8%. As at the beginning of the contract delivery month, any such bond which …
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