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

Jana Hranaiova and William G. Tomek

No 21677, 1999 Annual meeting, August 8-11, Nashville, TN from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: 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.

Keywords: timing option; convenience yield; basis; hedging effectiveness; Demand and Price Analysis; Marketing (search for similar items in EconPapers)
Date: 1999
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