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A one-factor model of interest rates and its application to treasury bond options
Black, Fischer - In: Financial analysts' journal : FAJ 46 (1990) 1, pp. 33-39
Persistent link: https://www.econbiz.de/10001085204
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A multivariate analysis of the cross-hedging performance of T-bond and GNMA futures markets
Hegde, Shantaram P. - In: The financial review : the official publication of the … 20 (1985) 2, pp. 143-163
Persistent link: https://www.econbiz.de/10001014902
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An empirical examination of the T-bond futures (call) options markets under conditions of constant and changing variance rates
Merville, Larry J. - In: Advances in futures and options research : a research annual 1 (1986), pp. 89-118
Persistent link: https://www.econbiz.de/10001339370
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Transactions data tests of minimum prices and put-call parity for treasurybond futures options
Jordan, James V. - In: Advances in futures and options research : a research annual 1 (1986), pp. 63-87
Persistent link: https://www.econbiz.de/10001339371
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Municipal bond futures : theory and uses
Johnson, Cal - In: Advances in futures and options research : a research annual 1 (1986), pp. 235-253
Persistent link: https://www.econbiz.de/10001339375
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The effect of futures price volatility on the price volatility of treasury bonds
Bhattacharya, Anand K. - In: Advances in futures and options research : a research annual 1 (1986), pp. 193-213
Persistent link: https://www.econbiz.de/10001339377
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Cash futures pricing and hedge ratios
Lady, George M. - In: Advances in futures and options research : a research annual 1 (1986), pp. 137-152
Persistent link: https://www.econbiz.de/10001339380
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The cheapest to deliver bond on the treasury bond futures contract
Arak, Marcelle V. - In: Advances in futures and options research : a research annual 1 (1986), pp. 49-74
Persistent link: https://www.econbiz.de/10001339384
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Cross-hedging, hedge effectiveness, and the trade-off between risk and return
Pitts, Mark - In: Advances in futures and options research : a research annual 1 (1986), pp. 29-47
Persistent link: https://www.econbiz.de/10001339385
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Negative option values are possible : the impact of treasury bond futures on the cash US treasury market
Jordan, Bradford D. - In: Journal of financial economics 46 (1997) 1, pp. 67-102
Persistent link: https://www.econbiz.de/10001228508