The downside risk in a leveraged stock position can be eliminated by using stop-loss orders.
The upside potential of such a position can be captured using contingent buy orders. The …

Often futures contracts contain quality options whereby the short position has the choice of
delivering one of an acceptable set of assets. We explore the implications of the quality …

This paper uses three methods to estimate quality option values for CBOT Treasury bond
futures contracts. It presents evidence regarding:(1) payoffs from exercising this option at …

In recent years, cash and futures prices have failed to converge at expiration for selected
corn, soybean, and wheat commodity contracts. This lack of convergence raises questions …

Futures Prices: A Survey Page 1 The Impact of Delivery Options on Futures Prices: A Survey
Don M. Chance Michael L. Hemler INTRO) DIJCI"ION LS kk contracts often possess options as …

This paper develops a model for determining Treasury bond futures prices when the short
position has a quality option. The model is developed in a general equilibrium economy …

Assuming perfect, frictionless and efficient markets, this paper develops a framework to
estimate the composite value of the quality, wild card and end-of-month options implicit in …

This thesis starts by observing that banks are central to derivatives markets. It then asks two
interrelated questions. First, what is it about banks that allows them to be the heart of …

This paper develops three empirical estimates of the value of the quality delivery option
implicit in the Treasury bond futures contract:(a) an ex ante value as given by the excess of …

This paper provides empirical evidence that the quality option in T-bond futures is much less
valuable than previously indicated. In addition, a dynamic trading strategy involving multiple …