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

Jana Hranaiova and William G. Tomek

No 14740, Working Papers from Cornell University, Department of Applied Economics and Management

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 to be statistically important.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 23
Date: 1999
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ags:cudawp:14740

DOI: 10.22004/ag.econ.14740

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