Title:

Multifactor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option

Authors:

João Pedro Vidal Nunes (ISCTE - Instituto Universitário de Lisboa, CEMAF - ISCTE, IUL)
Luís Alberto Ferreira de Oliveira (ISCTE - Instituto Universitário de Lisboa, CEMAF - ISCTE, IUL)

Journal:

Journal of Futures Markets

Year:

2007

Volume:

27

Pages:

275-303

JEL codes:

G13 - Contingent Pricing; Futures Pricing
H63 - Debt; Debt Management
E43 - Determination of Interest Rates; Term Structure of Interest Rates