One approach is for the trustee to select 100 bonds at random from those outstanding; you'll purchase those at par from the current bondholders ...
The seller will pick a bond with the lowest coupon rate available. This feature is known as cheapest to deliver (CTD), which allows delivery of the ...
It presents evidence regarding: (1) payoffs from exercising this option at delivery, (2) estimates from a T‐bond futures pricing model that incorporates this option, ...
Bond futures oblige the contract holder to purchase a bond on a specified date at a predetermined price. more · Delivery Option. A delivery option ...
The delivery option, as defined in this paper, is the option of the short side on the futures contract to deliver any bond from a pre-specified set of ...
Keywords: Bond future, option on bond futures, delivery option, marginning, HJM gaussian model, explicit formula, numerical integration.
By Michael L Hemler; Abstract: This paper uses three methods to estimate quality option values for Chicago Board of Trade Treasury bond ...
The value of delivery options is shown to be the excess of forward price of the cheapest bond over its conversion factor times the exercise price of futures ...
A Delivery Option Model for Treasury Bond Futures. Mark Koenigsberg. The Journal of Fixed Income Summer 1991, 1 (1) 75-88; DOI: https://doi.org/10.3905/ jfi.
The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond ...