Exportar Publicação

A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Nunes, J. P. V. & Oliveira, L. (2007). Multifactor and analytical valuation of treasury bond futures with an embedded quality option. Journal of Futures Markets. 27 (3), 275-303
Exportar Referência (IEEE) 
J. P. Nunes and L. A. Oliveira,  "Multifactor and analytical valuation of treasury bond futures with an embedded quality option", in Journal of Futures Markets, vol. 27, no. 3, pp. 275-303, 2007
Exportar BibTeX 
@article{nunes2007_1734880978663,
	author = "Nunes, J. P. V. and Oliveira, L.",
	title = "Multifactor and analytical valuation of treasury bond futures with an embedded quality option",
	journal = "Journal of Futures Markets",
	year = "2007",
	volume = "27",
	number = "3",
	doi = "10.1002/fut.20250",
	pages = "275-303",
	url = "http://onlinelibrary.wiley.com/doi/10.1002/fut.20250/full"
}
Exportar RIS 
TY  - JOUR
TI  - Multifactor and analytical valuation of treasury bond futures with an embedded quality option
T2  - Journal of Futures Markets
VL  - 27
IS  - 3
AU  - Nunes, J. P. V.
AU  - Oliveira, L.
PY  - 2007
SP  - 275-303
SN  - 0270-7314
DO  - 10.1002/fut.20250
UR  - http://onlinelibrary.wiley.com/doi/10.1002/fut.20250/full
AB  - A closed-form pricing solution is proposed for the quality option embedded in Treasury bond futures contracts, under a multifactor and D. Heath, R. Jarrow, and A. Morton (1992) Gaussian framework. Such an analytical solution can be obtained through a conditioning approximation, in the sense of M. Curran (1994) and L. Rogers and Z. Shi (1995), or via a rank 1 approximation, following A. Brace and M. Musiela (1994). Monte Carlo simulations show that both approximations are extremely accurate and easy to calculate.
ER  -