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Optimal Delivery Theory
Simulation of the Values of the QualityLocation Option
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assumes assumptions behavior Board of Trade carrying charge cash and futures cash market cash prices cash settlement Chapter cheaper cheapest-to-deliver Chicago Board convenience yield deliverable stocks deliveries in Toledo deliveries occur delivery day delivery month delivery patterns delivery period discounts Doctor of Philosophy dummy estimated exchange option Financial forward price function futures contracts futures deliveries Futures Markets Gay and Manaster grade Grain Market hard wheat hedging hypothesis implicit delivery options implies in-the-money Journal of Finance Journal of Futures location of deliveries location option logit transformation manipulation Margrabe maturity null hypothesis number of deliveries observed one-way arbitrage optimal exercise option value out-of-the-money par-with-options percent percentage of deliveries positive premia price difference price relationship quality option quality/location option ratio regressions relative prices Reprint in Peck risk premium theory seller of futures soft wheats soybeans T-Bond tested theoretical futures price total deliveries transactions costs Treasury Bond variance wild card