文章基本信息

标题：DELIVERY OPTION IN FUTURES CONTRACTS AND BASIS BEHAVIOR AT CONTRACT MATURITY
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作者：Hranaiova, Jana ; Tomek, William G.
期刊名称：Journal of Agribusiness
印刷版ISSN：0738-8950
出版年度：2000
期号：suppl
出版社：Journal of Agribusiness
摘要：Estimates of the joint value of the timing and location options in the corn futures contract on the CBOT are obtained by using a multinomial diffusion process. The estimated option values will be used in a model to explain basis behavior on the first day of the maturity month.