The design of futures contracts: implied maturity options
DOI:
https://doi.org/10.24054/face.v18i2.497Keywords:
futuros, opción de calidad, opción temporal, opción de localización, opción de la intención de entrega, opción de fin de mesAbstract
In some futures contracts the seller can choose between different alternatives. This fact gives rise to the presence of embedded options. This article studies the different types of options that may be present, the effect that their presence has on the price, and analyzes the problems that arise when trying to estimate their value, since they are not traded separately, and therefore, it is necessary to determine their value from the futures prices.
Downloads
References
Anderson, J. L. y Martínez Garmendia, J. (1999). Hedging Performance of Shrimp Futures Contracts with Multiple Deliverable Grades. Journal of Futures Markets, vol 19, pp. 957-990.
Balbás, A y Laborda, R. (2018). Interest Rate Future Quality Options and Negative Interest Rates. The Journal of Fixed Income, vol 28, pp. 61-73.
Balbás, A y Reichardt, S. (2010). On the future contract quality option: a new look. Applied Financial Economics, vol 20, pp. 1217-1229.
Breton, M y Ben-Abdallah, R. (2018). Time is money: An empirical investigation of delivery behavior in the U.S. T-Bond futures market. Journal of Futures Markets, vol 38, pp. 22-37.
Chance, D. M. y Hemler, M. L. (1993). The impact of Delivery Options on Futures Prices: A survey. Journal of Futures Markets, vol 13, pp. 127-155.
Hranaiova, J., Jarrow, R. A., y Tomek W. G. (2005). Estimating the Value of Delivery Options in Futures Contracts. The Journal of Financial Research, vol 28, pp.363-383.
Kamara, A. (1990). Delivery Uncertainty and the Efficiency of Futures Markets. Journal of Financial and Quantitative Analysis, vol 25, pp. 45-64.
Kamara, A. y Siegel, A. (1987). Optimal Hedging in Futures Markets with Multiple Delivery Specifications. Journal of Finance, 42, pp.1007-1021
Kane, A. y Marcus, A. (1986). The Quality Option in The Treasury Bond Futures Market: An Empirical Assessment. Journal of Futures Markets, 6, pp. 231-248.
Lien, D y Tse, Y. K (2006). A survey on physical delivery versus cash settlement in futures contracts. International Review of Economics and Finance, vol 15, pp. 15-29.
Lin, B. H. y Paxson, D. A. (1993). Valuing The “New-Issue” Quality Option in Bund Futures. The Review of Futures Markets, vol 12, pp. 347-388.
Nunes, J. y Ferreira, L. (2007). Multifactor and analytical valuation of treasury bond futures with an embedded quality option. Journal of Futures Markets, vol 27, pp. 275-303.
Pirrong, S.C., Kormendi, R. y Meguire, P. (1994). Multiple delivery points, pricing dynamics, and hedging effectiveness in futures markets for spatial commodities. Journal of Futures Markets, vol 14, pp. 545-573.
Vélez, A. (2010). Valoración de las quality options en los futuros de TES. Análisis. Revista del Mercado de Valores de Colombia, nº1, diciembre 2010.
Wong, K. P. (2014). Production and hedging in futures markets with multiple delivery specifications. Decisions in Economics and Finance, vol 37, pp. 413-421
Yu, S. W., Theobald, M. y Cadle, J. (1996). Quality Options and Hedging in Japanese Government Bond Future Markets. Financial Engineering and the Japanese Markets, vol 3, pp. 171-193.
Downloads
Published
Versions
- 2018-11-07 (2)
- 2021-01-21 (1)
How to Cite
Issue
Section
License
Copyright (c) 2021 FACE: Revista de la Facultad de Ciencias Económicas y Empresariales
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
