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Journal of Futures Markets
Volumn 18, Issue 1, 1998, Pages 35-51
The mispricing of callable U.S. treasury bonds: A closer look
Author keywords

[No Author keywords available]
Indexed keywords

EID: 0032353687     PISSN: 02707314     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1096-9934(199802)18:1<35::AID-FUT2>3.0.CO;2-9     Document Type: Article
Times cited : (7)
References (12)
  • 1
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    • Columbia University
    • Beim, D. O. (1992): "Term Structure and the Non-Cash Values in Bonds," Working Paper, Columbia University.
    • (1992) Working Paper
    • Beim, D.O.1
  • 2
    • 0010774680 scopus 로고
    • The Implied Volatility of U.S. Interest Rates: Evidence from Callable U.S. Treasuries, 1926-1994
    • Federal Reserve Bank of Atlanta
    • Bliss, R. R., and Ronn, E. I. (1995): "The Implied Volatility of U.S. Interest Rates: Evidence from Callable U.S. Treasuries, 1926-1994," Working Paper, Federal Reserve Bank of Atlanta.
    • (1995) Working Paper
    • Bliss, R.R.1    Ronn, E.I.2
  • 3
    • 84978558805 scopus 로고
    • The Mispricing of U.S. Treasury Callable Bonds
    • Carayannopoulos, P. (1995): "The Mispricing of U.S. Treasury Callable Bonds," Journal of Futures Markets, 15:861-879.
    • (1995) Journal of Futures Markets , vol.15 , pp. 861-879
    • Carayannopoulos, P.1
  • 4
    • 21144461273 scopus 로고
    • The Mispricing of U.S. Treasury Bonds: A Case Study
    • Cornell, B., and Shapiro, A. C. (1989): "The Mispricing of U.S. Treasury Bonds: A Case Study," Review of Financial Studies, 2:297-310.
    • (1989) Review of Financial Studies , vol.2 , pp. 297-310
    • Cornell, B.1    Shapiro, A.C.2
  • 5
    • 0041049258 scopus 로고    scopus 로고
    • Idiosyncratic Variation of Treasury Bill Yields
    • Duffee, G. (1996): "Idiosyncratic Variation of Treasury Bill Yields," Journal of Finance, 51:527-551.
    • (1996) Journal of Finance , vol.51 , pp. 527-551
    • Duffee, G.1
  • 6
    • 0038693107 scopus 로고    scopus 로고
    • Special Repo Rates
    • Duffie, D. (1996): "Special Repo Rates," Journal of Finance, 51:493-526.
    • (1996) Journal of Finance , vol.51 , pp. 493-526
    • Duffie, D.1
  • 7
    • 11544299825 scopus 로고
    • Are Negative Put and Call Option Prices Implicit in Callable Treasury Bonds?
    • Harvard Business School
    • Edleson, M. E., Fehr, D., and Mason, S. P. (1993): "Are Negative Put and Call Option Prices Implicit in Callable Treasury Bonds?" Working Paper, Harvard Business School.
    • (1993) Working Paper
    • Edleson, M.E.1    Fehr, D.2    Mason, S.P.3
  • 8
    • 0029691112 scopus 로고    scopus 로고
    • Salomon Brothers and the May 1991 Treasury Auction: Analysis of a Market Corner
    • Jordan, B. D., and Jordan, S. D. (1996): "Salomon Brothers and the May 1991 Treasury Auction: Analysis of a Market Corner," Journal of Banking and Finance, 20:25-40.
    • (1996) Journal of Banking and Finance , vol.20 , pp. 25-40
    • Jordan, B.D.1    Jordan, S.D.2
  • 9
    • 0001096999 scopus 로고
    • A Reexamination of Option Values Implicit in Callable Treasury Bonds
    • Jordan, B. D., Jordan, S. D., and Jorgensen, R. D. (1995): "A Reexamination of Option Values Implicit in Callable Treasury Bonds," Journal of Financial Economics, 38:141-162.
    • (1995) Journal of Financial Economics , vol.38 , pp. 141-162
    • Jordan, B.D.1    Jordan, S.D.2    Jorgensen, R.D.3
  • 10
    • 0031256725 scopus 로고    scopus 로고
    • Negative Option Values are Possible: The Impact of Treasury Bond Futures on the Cash U.S. Treasury Market
    • Jordan, B. D., and Kuipers, D. R. (1997): "Negative Option Values are Possible: The Impact of Treasury Bond Futures on the Cash U.S. Treasury Market," Journal of Financial Economics, 46:67-102.
    • (1997) Journal of Financial Economics , vol.46 , pp. 67-102
    • Jordan, B.D.1    Kuipers, D.R.2
  • 11
    • 21144476026 scopus 로고
    • Are Negative Option Prices Possible? the Callable U.S. Treasury-Bond Puzzle
    • Longstaff, F. A. (1992): "Are Negative Option Prices Possible? The Callable U.S. Treasury-Bond Puzzle," Journal of Business, 65:571-592.
    • (1992) Journal of Business , vol.65 , pp. 571-592
    • Longstaff, F.A.1

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.