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Applied Financial Economics Volume 9, 1999 - Issue 1
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Original Articles

Pricing and quality option in Japanese government bond futures

BING-HUEI LIN
,
REN-RAW CHEN
&
JIAN-HSIN CHOU
Pages 51-65 | Published online: 07 Oct 2010

Citations (6)

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Read on this site (2)

Ramzi Ben-Abdallah, Hatem Ben-Ameur & Michèle Breton. (2012) Pricing the Chicago Board of Trade T-Bond futures. Quantitative Finance 12:11, pages 1663-1678.
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Alejandro Balbás & Susana Reichardt. (2010) On the future contract quality option: a new look. Applied Financial Economics 20:15, pages 1217-1229.
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Articles from other publishers (4)

João Pedro Vidal Nunes & Luís Alberto Ferreira De Oliveira. (2007) Multifactor and analytical valuation of treasury bond futures with an embedded quality option. Journal of Futures Markets 27:3, pages 275-303.
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Marc Henrard. (2006) Bond Futures and Their Options. The Journal of Fixed Income 16:2, pages 62-75.
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Jangkoo Kang & Hyoung-Jin Park. (2006) Tests of alternate models for the pricing of Korean Treasury bond futures contracts. Pacific-Basin Finance Journal 14:4, pages 410-425.
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Marc P. A. Henrard. (2006) Bond Futures and Their Options: More than the Cheapest-to-Deliver; Margining and Quality Option. SSRN Electronic Journal.
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