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THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY

The value of the timing option implicit in CBOT corn futures contract is estimated. Separate estimates are obtained for the option without and with convenience yield. The effect of the option on basis behavior at day one of the maturity month is examined and is found to be statistically important.
Year of publication:
1999
Authors: Hranaiova, Jana ; Tomek, William G.
Institutions: Charles H. Dyson School of Applied Economics and Management, Cornell University
Subject: Demand and Price Analysis
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application/pdf
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Type of publication: Book / Working Paper
Notes:
The text is part of a series Department of Applied Economics and Management>Working Papers Number 14740
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Persistent link: https://www.econbiz.de/10005469016
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