THE TIMING OPTION IN FUTURES CONTRACTS AND PRICE BEHAVIOR AT CONTRACT MATURITY

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https://hdl.handle.net/1813/57939
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Author
Hranaiova, Jana; Tomek, William G.
Abstract
The value of the timing option implicit in CBOT corn futures contract is estimated. Separate estimates are obtained for the option without and with convenience yield. The effect of the option on basis behavior at day one of the maturity month is examined and is found to be statistically important.
Description
WP 1999-12 June 1999
Date Issued
1999-06-01
Publisher
Charles H. Dyson School of Applied Economics and Management, Cornell University
Type
article

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