Ben-Abdallah, Ramzi; Ben-Ameur, Hatem; Breton, Michèle - In: Journal of Banking & Finance 33 (2009) 3, pp. 534-545
The conversion factor system (CFS) is used in the determination of the invoice price of the Chicago Board of Trade Treasury-bond futures. As an alternative to the CFS, Oviedo [Oviedo, R.A., 2006. Improving the design of Treasury-Bond futures contracts. The Journal of Business 79, 1293-1315]...