The impact of delivery options on futures prices: a survey

Article Abstract:

A study was conducted to evaluate research on delivery options. The study focuses on the CBOT (Chicago Board of Trade) Treasury bond futures contract and considers its quality and timing options. It is shown that the CBOT contract is the most popular contractfor the US. In addition, the contract's quality option allows the short to for Treasury bond delivery with at least 15 years remaining until maturity or firstcall date.

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Arbitrage and price behavior of the Nikkei stock index futures

Article Abstract:

The arbitrage earnings and prices of the Nikkei Stock Average Futures contracts being traded at the Singapore International Monetary Exchange were studied. The data examined were spot and futures prices traded at five-minute interludes. It was discovered that arbitrage earnings were small due to the low amount of transactions completed. Changes in spot prices were also related to fluctuations of futures prices.

Prices and rates, Futures market, Futures markets, Arbitrage, Stock index futures

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Pricing American options with stochastic volatility: Evidence from S&P 500 futures options

Article Abstract:

A numerical method to price American options under stochastic volatility is tested.

Usage, Stochastic analysis

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