DELIVERY OPTIONS IN THE PRICING AND HEDGING OF TREASURY BOND AND NOTE FUTURES - An arbitrage-free stochastic term structure model is used here to determine the equilibrium Treasury bond futures price in terms of the option to deliver one of many eligible bonds as well as the appropriate quantity of Treasury bond futures required to hedge the bond identified initially as cheapest to deliver. If ...

Covered Call Writing from an Expected Utility Perspective

Rendleman Jr, Richard J., (2001)

Option Investing from a Risk-Return Perspective

Rendleman Jr, Richard J., (1999)

Valuing Multiple Employee Stock Options Issued by the Same Company

Dennis, Patrick J., (2008)