000018936 001__ 18936
000018936 005__ 20180122201308.0
000018936 037__ $$a1264-2016-101857
000018936 041__ $$aen
000018936 245__ $$aDELIVERY OPTIONS IN FUTURES CONTRACTS AND BASIS BEHAVIOR AT CONTRACT MATURITY
000018936 260__ $$c2000
000018936 269__ $$a2000
000018936 270__ $$mjh57@cornell.edu$$pHranaiova,   Jana
000018936 300__ $$a18
000018936 336__ $$aConference Paper/ Presentation
000018936 446__ $$aEnglish
000018936 490__ $$a2000 Conference, Chicago, IL, April 17-18 2000
000018936 520__ $$aThis paper estimates values of the delivery options implicit in the CBOT corn futures contract. Joint values of the timing and location options are estimated for the years 1989-97. By interacting the effects of the two delivery options, a potentially more accurate estimates are obtained. Two models are presented that rely on different assumptions about the institutional setup of the delivery process. The first model approximates the discreteness of the three day delivery process, while the second model relies on an assumption of immediate delivery that is consistent with the existing literature on pricing options. Individual hedgers can use these models to help them make delivery decisions. When all the costs of delivery are incorporated, true value of the delivery options can be obtained analytically. This can then be used to determine possible mispricing in the market as well as optimality of delivering early or delaying delivery. The estimated option values are used to explain the variability of bases in the deliverable locations. This application is useful for the exchange in evaluating hedging performance of futures contracts with respect to the delivery options embedded in them.
000018936 650__ $$aMarketing
000018936 6531_ $$adelivery options
000018936 6531_ $$ajoint timing-location option
000018936 6531_ $$abasis convergence
000018936 700__ $$aHranaiova, Jana
000018936 8564_ $$s97147$$uhttp://ageconsearch.umn.edu/record/18936/files/cp00hr01.pdf
000018936 887__ $$ahttp://purl.umn.edu/18936
000018936 909CO $$ooai:ageconsearch.umn.edu:18936$$pGLOBAL_SET
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  Previous issue date: 2000
000018936 982__ $$gNCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management>2000 Conference, Chicago, IL, April 17-18 2000
000018936 980__ $$a1264