THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY
Hranaiova, Jana; Tomek, William G.
1999

Files

Abstract

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.

Details

Title THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY
Keywords
Author(s) Hranaiova, Jana
Tomek, William G.
Subject(s)
Issue Date 1999
Publication Type Conference Paper/ Presentation
DOI and Other Identifiers 10.22004/ag.econ.21677
Record Identifier https://ageconsearch.umn.edu/record/21677
PURL Identifier http://purl.umn.edu/21677
Language English
Total Pages 14
Series Statement Selected Paper
Record Appears in Agricultural and Applied Economics Association (AAEA) > Agricultural and Applied Economics Association (AAEA) Conferences > 1999 Annual meeting, August 8-11, Nashville, TN

PDF

Statistics

from
to
Export
Download Full History