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Optimal exercise of the switching option in treasury bond arbitrages

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  • Theodore M. Barnhill
  • William E. Seale

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  • Theodore M. Barnhill & William E. Seale, 1988. "Optimal exercise of the switching option in treasury bond arbitrages," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(5), pages 517-532, October.
    • Handle: RePEc:wly:jfutmk:v:8:y:1988:i:5:p:517-532
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    Cited by:

    1. Michèle Breton & Ramzi Ben‐Abdallah, 2018. "Time is money: An empirical investigation of delivery behavior in the U.S. T‐Bond futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(1), pages 22-37, January.
    2. 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.
    3. Alejandro Balbas & Susana Reichardt, 2010. "On the future contract quality option: a new look," Applied Financial Economics, Taylor & Francis Journals, vol. 20(15), pages 1217-1229.

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