The Quality Option and Timing Option in Futures Contracts
作者:
PHELIM P. BOYLE,
期刊:
The Journal of Finance
(WILEY Available online 1989)
卷期:
Volume 44,
issue 1
页码: 101-113
ISSN:0022-1082
年代: 1989
DOI:10.1111/j.1540-6261.1989.tb02406.x
出版商: Blackwell Publishing Ltd
数据来源: WILEY
摘要:
ABSTRACTOften futures contracts contain quality options whereby the short position has the choice of delivering one of an acceptable set of assets. We explore the implications of the quality option on the futures price. We develop a method for pricing the quality option for the general case ofndeliverable assets and provide numerical illustrations of its significance. Even when the asset prices are very highly correlated, this option can have nontrivial value, especially when there is a large number of deliverable assets. We analyze the impact of the timing option and its interaction with the quality option. A procedure is developed for valuing the timing option in the presence of the quality option, and some numerical estimates are obtained.
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