21. For a Treasury bond futures contract, the delivery options granted to the short reduce the theoretical

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21. For a Treasury bond futures contract, the delivery options granted to the short reduce the theoretical futures price below the theoretical futures price suggested by the standard arbitrage model.

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Measuring And Controlling Interest Rate And Credit Risk

ISBN: 9780471268062

2nd Edition

Authors: Frank J. Fabozzi, Steven V. Mann, Moorad Choudhry

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Question Posted: Oct 23, 2024 10:01 AM

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21. For a Treasury bond futures contract, the delivery options granted to the short reduce the theoretical futures price below the theoretical futures price suggested by the standard arbitrage model.
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21. For a Treasury bond futures contract, the delivery options granted to the short reduce the theoretical

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Measuring And Controlling Interest Rate And Credit Risk

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