Empirical tests of valuation models for options on t-note and t-bond futures
Article Abstract:
Two valuation formulae for pricing American options on T-Note and T-Bond are compared. The first model is the European pricing formula and the second is the quadratic approximation for pricing American options. The comparative analysis shows that the European pricing model is indistinguishable from the American pricing model. If the model prices are used as signals to construct hedge portfolios, significant profits are earned only in a few cases.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1993
Models, Evaluation, Hedging (Finance), Treasury securities, Capital assets pricing model, Capital asset pricing model, Commodity options
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1993
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Mean Reversion and the Comovement of Equilibrium Spot and Futures Prices: Implications from Alternative Data-Generating Processes
Article Abstract:
The comovements of futures and spot prices are characterized by six binary variables.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
United States, Statistical Data Included, Futures market, Futures markets
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2001
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Subjects list: Research
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