Le point sur? La quality option implicite au contrats futures obligataires [extrait BMI 77]
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Les contrats futures obligataires recèlent une option de livraison implicite appelée quality option. Comme son nom l'indique, cette option confère à son bénéficiaire (le vendeur à terme) la possibilité de choisir la qualité de l'actif support à livrer à l'échéance. Dans cet article, nous nous proposons de faire le point sur le rôle joué par la quality option dans le processus de formation des prix à terme, ainsi que dans la détection des opportunités d'arbitrage comptant-terme.
Auteurs :Ben Larbi Sami Extrait de la revue BMI 77
Reference
BMI77-1098279
Condition
New
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