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

Autor:	Hranaiova, Jana, Tomek, William G.
Jazyk:	angličtina
Rok vydání:	1999
Předmět:	Marketing FOS: Economics and business basis Demand and Price Analysis hedging effectiveness convenience yield timing option
DOI:	10.22004/ag.econ.21677
Popis:	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.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::5e08e45765e931c4b11d879803c703a7 Zobrazit plný text záznamu