Terms Structure of Interest Rates and Implicit Options: The Case of Japanese Bond Futures
用两因子HJM模型分析日本国债期货的质量期权，发现交割前三个月期权价值为面值的0.12%–0.2%，且方差分析表明该期权具有负theta。
The quality option for Japanese Government Bond Futures contracts is analysed using a term structure approach based upon a two‐factor Heath, Jarrow and Morton (1990b) model. The option value is found to be 0.12%–0.2% of par three months prior to delivery. Also, analysis of variance confirms that the quality option has a negative theta .