DELIVERY OPTION IN FUTURES CONTRACTS AND BASIS BEHAVIOR AT CONTRACT MATURITY
Hranaiova, Jana; Tomek, William G.
2000

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Abstract

Estimates of the joint value of the timing and location options in the corn futures contract on the CBOT are obtained by using a multinomial diffusion process. The estimated option values will be used in a model to explain basis behavior on the first day of the maturity month.

Details

Title DELIVERY OPTION IN FUTURES CONTRACTS AND BASIS BEHAVIOR AT CONTRACT MATURITY
Author(s) Hranaiova, Jana
Tomek, William G.
Subject(s)
Issue Date 2000
Publication Type Conference Paper/ Presentation
DOI and Other Identifiers 10.22004/ag.econ.21732
Record Identifier https://ageconsearch.umn.edu/record/21732
PURL Identifier http://purl.umn.edu/21732
Language English
Total Pages 25
Series Statement Selected Paper
Record Appears in Agricultural and Applied Economics Association (AAEA) > Agricultural and Applied Economics Association (AAEA) Conferences > 2000 Annual meeting, July 30-August 2, Tampa, FL

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