Lin, Bing-Huei; Chen, Ren-Raw; Chou, Jian-Hsin - In: Applied Financial Economics 9 (1999) 1, pp. 51-65
An empirical study of the Hull - White model for pricing Treasury bond futures contracts with quality option is presented. Japanese long-term Government Bond (JGB) futures contracts are chosen, because unlike US Treasury bond futures contracts, which embed both the quality and timing options,...