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Synthèse sur les Options de Livraison dans les Contrats à Terme

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  • A. Bellier-Delienne

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  • A. Bellier-Delienne, 2005. "Synthèse sur les Options de Livraison dans les Contrats à Terme," THEMA Working Papers 2005-09, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    • Handle: RePEc:ema:worpap:2005-09
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    File URL: http://www.u-cergy.fr/IMG/documents//2005-09Bellier-Delienne.pdf
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    1. 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..
    2. 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.
    3. Cornell, Bradford & Reinganum, Marc R, 1981. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 36(5), pages 1035-1045, December.
    4. Barnhill, Theodore M., 1988. "The Delivery Option on Forward Contracts: A Comment," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(3), pages 343-349, September.
    5. Peter P. Carr & Robert A. Jarrow, 2008. "The Stop-Loss Start-Gain Paradox and Option Valuation: A new Decomposition into Intrinsic and Time Value," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 4, pages 61-84, World Scientific Publishing Co. Pte. Ltd..
    6. Duffie, Darrell & Singleton, Kenneth J, 1999. "Modeling Term Structures of Defaultable Bonds," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 687-720.
    7. Cox, John C. & Ingersoll, Jonathan Jr. & Ross, Stephen A., 1981. "The relation between forward prices and futures prices," Journal of Financial Economics, Elsevier, vol. 9(4), pages 321-346, December.
    8. repec:bla:jfinan:v:44:y:1989:i:1:p:101-13 is not listed on IDEAS
    9. Elton, Edwin J & Gruber, Martin J & Rentzler, Joel, 1984. "Intra-Day Tests of the Efficiency of the Treasury Bill Futures Market," The Review of Economics and Statistics, MIT Press, vol. 66(1), pages 129-137, February.
    10. Avi Bick, 1997. "Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option," Review of Finance, European Finance Association, vol. 1(1), pages 81-104.
    11. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
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    Cited by:

    1. Francois-Éric Racicot & Raymond Théoret, 2006. "Les modèles HJM et LMM revisités," RePAd Working Paper Series UQO-DSA-wp042006, Département des sciences administratives, UQO.

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