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A Multifactor Model Of The Quality Option In Treasury Futures Contracts

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  • Peter Ritchken
  • L. Sankarasubramanian

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  • Peter Ritchken & L. Sankarasubramanian, 1995. "A Multifactor Model Of The Quality Option In Treasury Futures Contracts," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 18(3), pages 261-279, September.
    • Handle: RePEc:bla:jfnres:v:18:y:1995:i:3:p:261-279
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    File URL: http://hdl.handle.net/10.1111/j.1475-6803.1995.tb00566.x
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    References listed on IDEAS

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    1. Simon Benninga & Michael Smirlock, 1985. "An empirical analysis of the delivery option, marking to market, and the pricing of treasury bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 5(3), pages 361-374, September.
    2. Flesaker, Bjorn, 1993. "Testing the Heath-Jarrow-Morton/Ho-Lee Model of Interest Rate Contingent Claims Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 28(4), pages 483-495, December.
    3. Hegde, Shantaram P., 1988. "An empirical analysis of implicit delivery options in the treasury bond futures contract," Journal of Banking & Finance, Elsevier, vol. 12(3), pages 469-492, September.
    4. David Heath & Robert Jarrow & Andrew Morton, 2008. "Bond Pricing And The Term Structure Of Interest Rates: A New Methodology For Contingent Claims Valuation," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 13, pages 277-305, World Scientific Publishing Co. Pte. Ltd..
    5. Black, Fischer & Scholes, Myron S, 1972. "The Valuation of Option Contracts and a Test of Market Efficiency," Journal of Finance, American Finance Association, vol. 27(2), pages 399-417, May.
    6. Margrabe, William, 1978. "The Value of an Option to Exchange One Asset for Another," Journal of Finance, American Finance Association, vol. 33(1), pages 177-186, March.
    7. Peter Ritchken & L. Sankarasubramanian, 1992. "Pricing the Quality Option In Treasury Bond Futures1," Mathematical Finance, Wiley Blackwell, vol. 2(3), pages 197-214, July.
    8. Gay, Gerald D. & Manaster, Steven, 1984. "The quality option implicit in futures contracts," Journal of Financial Economics, Elsevier, vol. 13(3), pages 353-370, September.
    9. Livingston, Miles, 1987. "The Delivery Option on Forward Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 79-87, March.
    10. John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 5, pages 129-164, World Scientific Publishing Co. Pte. Ltd..
    11. Amin, Kaushik I. & Morton, Andrew J., 1994. "Implied volatility functions in arbitrage-free term structure models," Journal of Financial Economics, Elsevier, vol. 35(2), pages 141-180, April.
    12. Alex Kane & Alan J. Marcus, 1986. "The quality option in the treasury bond futures market: An empirical assessment," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 6(2), pages 231-248, June.
    13. repec:bla:jfinan:v:44:y:1989:i:1:p:101-13 is not listed on IDEAS
    14. Kane, Alex & Marcus, Alan J., 1988. "The Delivery Option on Forward Contracts: A Note," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 337-341, September.
    15. Barnhill, Theodore M., 1990. "Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 25(1), pages 65-86, March.
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    Cited by:

    1. João Pedro Vidal Nunes & Luís Alberto Ferreira De Oliveira, 2007. "Multifactor and analytical valuation of treasury bond futures with an embedded quality option," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(3), pages 275-303, March.
    2. Cremers, Martijn & Fleckenstein, Matthias & Gandhi, Priyank, 2021. "Treasury yield implied volatility and real activity," Journal of Financial Economics, Elsevier, vol. 140(2), pages 412-435.
    3. Reichardt, Susana, 2006. "On the future contract quality option: a new look," DEE - Working Papers. Business Economics. WB wb063711, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.

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