DELIVERY OPTION IN FUTURES CONTRACTS AND BASIS BEHAVIOR AT CONTRACT MATURITY

Estimates of the joint value of the timing and location options in the corn futures contract on the CBOT are obtained by using a multinomial diffusion process. The estimated option values will be used in a model to explain basis behavior on the first day of the maturity month.

MoreLess

Year of publication:	2000
Authors:	Hranaiova, Jana ; Tomek, William G.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	Financial Economics \| Marketing

More details

Extent:	application/pdf
Series:	2000 Annual meeting, July 30-August 2, Tampa, FL.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2000 Annual meeting, July 30-August 2, Tampa, FL Number 21732
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005468476