search query: @author Longstaff, F. / total: 4
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| Author: | Longstaff, F. |
| Title: | Are negative option prices possible? The callable U.S. treasury-bond puzzle |
| Journal: | Journal of Business
1992 : OCT, VOL. 65:4, p. 571-592 |
| Index terms: | USA BUSINESS ECONOMICS PRICES |
| Language: | eng |
| Abstract: | Market prices for callable Treasury bonds often imply negative values for the implicit call option. The author considers a variety of possible explanations for these negative values including the Treasury's track record in calling bonds optimally, tax-related effects, tax-timing options, and bond liquidity. None of these factors accounts for the negative values. Although the costs of short selling may explain why these apparent arbitrage opportunities persist over time, why these implicit call values become negative in the first place remains a puzzle. |
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