search query: @author Barnhill, T. M. / total: 3
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| Author: | Barnhill, T. M. |
| Title: | Qualitative option profits, switching option profits, and variation margin costs. |
| Journal: | Journal of Financial and Quantitative Analysis
1990 : MAR, VOL. 25:1, p. 65-86 |
| Index terms: | FUTURES MARKETS |
| Language: | eng |
| Abstract: | Evaluation and comparison of the values of the quality and switching options in Treasury Bonds cash/futures arbitrages and financing costs of variation margin payments. Research methodology. Quality and switching option profits. Cost of financing variation margin payments. Adjusted quality and switching option profits. Pricing Treasury Bond futures. Six Tables illustrate the study. |
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