Bonds futures: Delta? No gamma!
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- Henrard, Marc, 2006. "Bonds futures and their options: more than the cheapest-to-deliver; quality option and marginning," MPRA Paper 2001, University Library of Munich, Germany.
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More about this item
Keywords
Bond future; delivery option; delta; gamma; HJM gaussian model; in-the-model; out-of-the-model;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-MAC-2007-03-17 (Macroeconomics)
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