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Delivery Option In Futures Contracts And Basis Behavior At Contract Maturity

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  • Hranaiova, Jana
  • Tomek, William G.

Abstract

Estimates of the joint value of the timing and location options in the corn futures contract on the CBOT are obtained by using a multinomial diffusion process. The estimated option values will be used in a model to explain basis behavior on the first day of the maturity month.

Suggested Citation

  • Hranaiova, Jana & Tomek, William G., 2000. "Delivery Option In Futures Contracts And Basis Behavior At Contract Maturity," 2000 Annual meeting, July 30-August 2, Tampa, FL 21732, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    • Handle: RePEc:ags:aaea00:21732
    DOI: 10.22004/ag.econ.21732
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    References listed on IDEAS

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    1. Madan, Dilip B & Milne, Frank & Shefrin, Hersh, 1989. "The Multinomial Option Pricing Model and Its Brownian and Poisson Limits," The Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 251-265.
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    Financial Economics; Marketing;

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