2015 1 227 JOURNAL OF XIAMEN UNIVERSITY Arts & Social Sciences No. 1 2015 General Serial No. 227 361005 CTD F830. 9 A 0438-0460 2015 01-0033-08 2013 9 6 4 7 CTD 2014-09-10 71101121 71371161 71471155 33
2015 CTD 5 5 3% 4 7 1 Conversion Factor CF 0. 9812 0. 9812 3% 2 100 98. 12 0. 9812 3% The Cheapest to Deliver CTD 3 F t = ( P t + AI t - I t ) e r( T-t) 1 t T P t AI t F t t I t r t T 1 4 7 2 5 3 2011 34
1 1 P t AI t CTD CTD t CTD IRR Implied Repo Rate CTD IRR IRR t = t - t + t T - t 365 - T - τ 365 τ IRR t t 1 IRR IRR IRR CTD CTD IRR IRR CTD 1 CTD Q t = F t - AI CTD T CF CTD CTD Hegde 1990 Hemler 1990 1 IRR IRR IRR 35
2015 Hemler 1990 1977 1986 0. 2% 1 Gay 1984 Hemler 1990 Hemler 1990 1977 1986 0. 3% Chance 1993 Boyle 1989 Balbas 2010 Boyle 1989 0 e r T-t T-t r Balbas 2010 1. CTD Margrabe 1978 Gay 1984 Hemler 1990 36 Margrabe 1978 Black-Scholes-Merton BSM
1 BSM K Gay 1984 2. 2% Hemler 1990 2 3 Hemler 1990 1977 1986 0. 7% 1. 2% Chance 1993 2. Kane 1986 Ritchken 1992 Bick 1997 Carr 1997 Chen 2005 Rendleman 2004 Nunes 2007 Ritchten 1995 Ben-Abdallah 2012 Kane 1986 Ritchken 1992 Ritchken 1992 σe -κ T-t CTD Kane 1986 1978 1982 3 Monte-Carlo 10000 CTD 3 2% 6% Vasicek CIR BDT HJM Bick 1997 Vasicek n n n Carr 1997 CIR 37
2015 Vasicek 1987 1991 CIR Chen 2005 Rendleman 2004 BDT 2002 2 2003 2 6% 6% Nunes 2007 HJM HJM Monte-Carlo 1 HJM 1999 3 2001 9 EUREX 8 5 HJM Ritchken 1995 Lin 1995 Ben-Abdallah 2012 CTD Vasicek CIR Hull-White Hull-White Vasicek t NS 2% 3. Burghardt 2005 CTD 38
1 2013 5 CTD 2011 Balbas A. Reichardt S 2010 On the Future Contract Quality Option A New Look Applied Financial Economics 20 1217-1229. Ben-Abdallah R. Ben-Ameur H. Breton M 2012 Pricing the Chicago Board of Trade T-Bond Futures Quantitative Finance 12 11 1663-1678. Bick A 1997 Two Closed-Form Formulas for the Futures Price in the Presence of a Quality Option European Finance Review 1 81-104. Boyle P. P 1989 The Quality Option and Timing Option in Futures Contracts Journal of Finance 44 1 101-113. Burghardt G. Belton T. 2005 The Treasury Bond Basis An in-depth Analysis for Hedgers Speculators and Arbitrageurs U. S. McGraw-Hill. Carr P. Chen R. -R 1997 Valuing Bond Futures and the Quality Option Working Paper. Chance D. M. Hemler M. L 1993 The Impact of Delivery Options on Futures Prices A Survey Journal of Futures Markets 13 2 127-155. Chen R. -R. Yeh S. -K 2005 Analytical Bounds for the Treasury Bond Futures Prices. 39
2015 Gay G. D. Manaster S 1984 The Quality Option Implicit in Futures Contracts Journal of Financial Economics 13 353-370. Hegde S. P 1990 An Ex Post Valuation of the Quality Option Implicit in the Treasury Bond Futures Contract Journal of Banking and Finance 14 4 741-760. Hemler M. L 1990 The Quality Delivery Option in Treasury Bond Futures Contracts Journal of Finance 45 5 1565-1586. Kane A. Marcus A. J 1986 The Quality Option in the Treasury Bond Futures Market An Empirical Assessment Journal of Futures Markets 6 2 231-248. Lin B. -H. Paxson D. A 1995 Term Structure Volatility and Bund Futures Embedded Options Journal of Business Finance and Accounting 22 101-127. Margrabe W 1978 The Value of an Option to Exchange One Asset for Another Journal of Finance 33 1 177-186. Nunes J. P. V. Oliveira L. A. F. d. 2007 Multi-Factor and Analytical Valuation of Treasury Bond Futures with an Embedded Quality Option Journal of Futures Markets 27 3 275-303. Rendleman Jr. R. J 2004 Delivery Options in the Pricing and Hedging of Treasury Bond and Note Futures Journal of Fixed Income 14 2 20-31. Ritchken P 1992 Pricing the Quality Option in Treasury Bond Futures Mathematical Finance 2 3 197-214. Ritchken P. H. Sankarasubramanian L 1995 A Multifactor Model of the Quality Option in Treasury Futures Contracts Journal of Financial Research 18 261-279. On the Pricing of Treasury Bond Futures Principles and a Literature Review CHEN Rong GE Jun School of Economics Xiamen University Xiamen 361005 Fujian Abstract Currently the pricing of treasury bond futures in China is of great complexity. This paper argues that a full understanding of the nature and value of quality options is of paramount importance for the successful transaction arbitrage and value-insurance of treasury bond futures. This study discusses the designing principles of treasury bond futures as well as concepts like standard bond conversion factor cheapest to deliver implied repo rate and quality options that u- nique to the market of treasury bond futures. Then it generates a pricing model for treasury bond futures without taking quality options into consideration. In our literature review it is discovered that methods used in researching the pricing of quality options can be classified into the realized quality option method the implied quality option method the static replication method and the joint distribution method. The joint distribution method which can theoretically be used in real-time pricing can be further classified into the exchange option method the dynamic term structure method and the scenario simulation method. It is suggested that real market conditions or objectives of research should be taken into account when scholars choose from among the various models. Key Words treasury bond futures quality option pricing of futures 40