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| Tekijä: | Jordan, B. D. Kuipers, D. R. |
| Otsikko: | Negative option values are possible: The impact of treasure bond futures on the cash U.S. treasury market |
| Lehti: | Journal of Financial Economics
1997 : OCT, VOL. 46:1, p. 67-102 |
| Asiasana: | MONETARY CONTROL BONDS GOVERNMENT BONDS MARKETS USA |
| Kieli: | eng |
| Tiivistelmä: | This article examines a unique financial instrument, the November 2009 U. S. Treasury principal STRIPS. It is possible to obtain a particularly clear estimate of the value of the put option embedded in the November 2009-14 callable U.S. Treasury bond. It was found that while the implied option value is usually positive, there is a dramatic shift in August 1993 and the estimated put value is persistently negative on nearly every day for the ensuing 8 months, implying that the underlying bond was substantially overvalued during this time. The prices of two other callable issues also imply similarly negative put option values during the same time period. The source of the misvaluation is traced directly to the CBT Treasury bond futures contract. |
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