超长期国债期货

Ren‐Raw Chen, Dean Leistikow, You-Tseng Su, S. Yeh
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引用次数: 0

摘要

在本文中,我们确定了允许25至30年到期的可交付债券的超国债期货合约的质量期权价值,并将其与允许15至25年到期的新的常规国债期货进行比较。我们使用无套利的何利模型进行估值。使用2011年3月25日至2021年4月16日Ultra期货合约推出后的每周数据,我们发现(1)Ultra期货的优质期权价值高于新的常规期货,(2)Ho-Lee模型持续低估市场价格,以及(3)Ben Abdallah和Breton在2017年预测的“干旱期”仅得到部分支持。
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Ultra Treasury Bond Futures
In this article, we determine the quality option value of Ultra Treasury bond futures contracts, which allow deliverable bonds between 25 and 30 years to maturity, and compare them with the new regular Treasury bond futures, which allow deliverable bonds between 15 and 25 years to maturity. We use the arbitrage-free Ho-Lee model for the valuation. Using weekly data from March 25, 2011, until April 16, 2021, after the Ultra futures contract was introduced, we discover that (1) that quality option value is higher for the Ultra futures than the new regular futures, (2) the Ho-Lee model consistently underprices the market, and (3) the “dry spell” period predicted by Ben-Abdallah and Breton in 2017 is only partially supported.
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来源期刊
Journal of Fixed Income
Journal of Fixed Income Economics, Econometrics and Finance-Economics and Econometrics
CiteScore
1.10
自引率
0.00%
发文量
23
期刊介绍: The Journal of Fixed Income (JFI) provides sophisticated analytical research and case studies on bond instruments of all types – investment grade, high-yield, municipals, ABSs and MBSs, and structured products like CDOs and credit derivatives. Industry experts offer detailed models and analysis on fixed income structuring, performance tracking, and risk management. JFI keeps you on the front line of fixed income practices by: •Staying current on the cutting edge of fixed income markets •Managing your bond portfolios more efficiently •Evaluating interest rate strategies and manage interest rate risk •Gaining insights into the risk profile of structured products.
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