A delivery option permits the seller of a futures contract to determine the
at least 25 years. Bond (ZB). 100,000. Treasury bonds. Remaining term to maturity: at least 15 years and ...
Bond futures oblige the contract holder to purchase a bond on a specified date at a predetermined price. more · Delivery Option. A delivery option ...
Keywords: Bond future, option on bond futures, delivery option, marginning, HJM gaussian model, explicit formula, numerical integration.
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, ...
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 ...
It presents evidence regarding payoffs from exercising this option at delivery, estimates from a T-bond futures pricing model that incorporates this ...
Delivery options in Treasury bond futures are generally known as the quality option and three timing options. The quality option gives the short ...
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.