THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY

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.


Issue Date:
1999
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21677
Total Pages:
14
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-24

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