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Are options on treasury bond futures price efficiently?

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  • Michael T. Belongia
  • Thomas H. Gregory

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  • Michael T. Belongia & Thomas H. Gregory, 1984. "Are options on treasury bond futures price efficiently?," Review, Federal Reserve Bank of St. Louis, vol. 66(Jan), pages 5-13.
    • Handle: RePEc:fip:fedlrv:y:1984:i:jan:p:5-13:n:v.66no.1
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    References listed on IDEAS

    as
    1. Whaley, Robert E., 1982. "Valuation of American call options on dividend-paying stocks : Empirical tests," Journal of Financial Economics, Elsevier, vol. 10(1), pages 29-58, March.
    2. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    3. Finnerty, Joseph E., 1978. "The Chicago Board Options Exchange and Market Efficiency," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(1), pages 29-38, March.
    4. Avner Wolf, 1982. "Fundamentals of commodity options on futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(4), pages 391-408, December.
    5. Michael R. Asay, 1982. "A note on the design of commodity option contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(1), pages 1-7, March.
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    Keywords

    Treasury bonds; Prices;

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