search query: @journal_id 56 / total: 1032
reference: 303 / 1032
Author: | Lin, B. Paxson, D. |
Title: | Term structure volatility and bund futures embedded options |
Journal: | Journal of Business Finance and Accounting
1995 : JAN, VOL. 22:1, p. 101-127 |
Index terms: | FUTURE QUALITY HEDGING OPTIONS |
Language: | eng |
Abstract: | In this article the authors adopt a binomial methodology, based on the Heath , Jarrow and Morton model, for pricing and analyzing the Bund Futures Contract and its embedded option, assuming a stochastic term structure of interest rates. Call options on bund futures can also be valued consistently using this methodology. The conventional quality option has the same characteristics as that of standard options, such as negative theta, while other embedded options have eccentric characteristics. |
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