DELIVERY OPTION IN FUTURES CONTRACTS AND BASIS BEHAVIOR AT CONTRACT MATURITY

Jana Hranaiova and William G. Tomek

No 21732, 2000 Annual meeting, July 30-August 2, Tampa, FL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

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.

Keywords: Financial Economics; Marketing (search for similar items in EconPapers)
Pages: 25
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://ageconsearch.umn.edu/record/21732/files/sp00hr01.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea00:21732

DOI: 10.22004/ag.econ.21732

Access Statistics for this paper

More papers in 2000 Annual meeting, July 30-August 2, Tampa, FL from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) Contact information at EDIRC.
Bibliographic data for series maintained by AgEcon Search ().