Term structure volatility and Bund futures embedded options

Article Abstract:

A binomial method based on the Heat, Jarrow and Morton model was developed to analyze pricing and hedging in the Bund Futures Contract and its two embedded options, the conventional quality option and the new-issue option. Results showed that the value of the quality option value is smaller than previously thought to be, with an average value equal to nine basis points for the date three months before maturity. Results also showed that the new-issue option value is approximately 9.7 basis points while the futures contract evolves into the nearest month.

Valuation, Futures

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Laboratory evidence on how managers intuitively value real growth options

Article Abstract:

A study regarding the behavior of managers regarding growth based on the real growth options theory was conducted. The study sought to establish the similarity between the managers' intuitions about growth and the real growth options theory. The interrelationship of the two variables was manifested through the manner by which the 82 managers valued a set of real options by making decisions in a controlled and designed case studies. Results revealed that the respondents generally valued their options inconsistently.

Management Theory & Techniques, Research, Practice, Management, Executives, Management research, Corporate growth

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The influence of monetary conditions on the response of interest rate futures to M1 releases:1976u1998

Article Abstract:

The future prices of T-bill and T-bonds and the effects of weekly monetary M1 announcements on these prices are examined by focusing on monetary conditions from 1976 to 1998.

United States, Evaluation, Monetary policy, Treasury securities, Treasury bills, Treasury bonds

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