Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning
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- Henrard, Marc, 2006. "Bonds futures: Delta? No gamma!," MPRA Paper 2249, University Library of Munich, Germany, revised 01 May 2006.
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More about this item
Keywords
Bond future; option on bond futures; delivery option; marginning; Gaussian HJM model; explicit formula; numerical integration;All these keywords.
JEL classification:
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
NEP fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2007-03-10 (Financial Markets)
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