A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method
Susheng Wang, Yongrui Yu, Huimin Liu
Available Online November 2015.
- 10.2991/emeeit-15.2015.62How to use a DOI?
- treasury bond futures; holding cost method; CTD bond
5-year and 10-year term treasury bond futures were launched officially in September 6, 2013 and March 20, 2015, marking the interest rate futures re-board the stage of history. Academic study of treasury bond futures gradually becomes a hot issue, this article describes the difficult and hot issues at home and abroad from the aspects of futures pricing theory, the relationship between the spot and arbitrage.
- © 2015, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Susheng Wang AU - Yongrui Yu AU - Huimin Liu PY - 2015/11 DA - 2015/11 TI - A Literature Review of Treasury Bond Futures Pricing and Arbitrage Method BT - Proceedings of the 2015 International conference on Engineering Management, Engineering Education and Information Technology PB - Atlantis Press SP - 309 EP - 315 SN - 2352-538X UR - https://doi.org/10.2991/emeeit-15.2015.62 DO - 10.2991/emeeit-15.2015.62 ID - Wang2015/11 ER -