search query: @author Ritchken, P. / total: 8
reference: 1 / 8
« previous | next »
| Author: | Ritchken, P. Sankarasubramanian, L. |
| Title: | A multifactor model of the quality option in treasury futures contracts |
| Journal: | Journal of Financial Research
1995 : FALL, VOL. 18:3, p. 261-279 |
| Index terms: | MODELS FUTURE QUALITY |
| Language: | eng |
| Abstract: | The values of quality options in Treasury futures contracts are set relative to the prices of all coupon bonds in their respective deliverable sets. As a result, any model used to value the quality option should set its price relative to the set of observed bond prices. This requirement rules out the use of most simple equilibrium models that represent all bond prices in terms of a finite number of state variables. |
« previous | next »
SCIMA