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 statistically significant.

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Year of publication:	1999
Authors:	Hranaiova, Jana ; Tomek, William G.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	timing option \| convenience yield \| basis \| hedging effectiveness \| Demand and Price Analysis \| Marketing

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Extent:	application/pdf
Series:	1999 Annual meeting, August 8-11, Nashville, TN.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 1999 Annual meeting, August 8-11, Nashville, TN Number 21677
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005220795