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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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Suggested Citation

  • 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. Avner Wolf, 1982. "Fundamentals of commodity options on futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 2(4), pages 391-408, December.
    4. 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.
    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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