Analytical bounds for Treasury bond futures prices

Ren-Raw Chen () and Shih-Kuo Yeh ()

Review of Quantitative Finance and Accounting, 2012, vol. 39, issue 2, 209-239

Keywords: Treasury bond futures; Delivery options; Cox-Ingersoll-Ross model; Bounds; G13 (search for similar items in EconPapers)
Date: 2012
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DOI: 10.1007/s11156-011-0247-y

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