Negative option values are possible: The impact of Treasury bond futures on the cash U.S. Treasury market

Journal of Financial Economics

Volumn 46, Issue 1, 1997, Pages 67-102

  Jordan, Bradford D ^a   Kuipers, David R ^b  

^a UNIVERSITY OF KENTUCKY   (United States)

^b UNIVERSITY OF HOUSTON   (United States)

Author keywords

Bond futures; Bond options; Callable bond; STRIPS; Treasury bond

Indexed keywords

EID: 0031256725     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(97)00025-1     Document Type: Article

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