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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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