文章基本信息

标题：THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY
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作者：Hranaiova, Jana ; Tomek, William G.
期刊名称：Journal of Food Distribution Research
印刷版ISSN：0047-245X
出版年度：1999
期号：SUPPL
出版社：Food Distribution Research Society
摘要：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.