The Quality Option and Timing Option in Futures Contracts
研究期货合约中空头方选择交割资产的质量期权对期货价格的影响，提出定价方法并分析其与时机期权的相互作用，对衍生品定价和风险管理有参考价值。
ABSTRACT Often futures contracts contain quality options whereby the short position has the choice of delivering one of an acceptable set of assets. We explore the implications of the quality option on the futures price. We develop a method for pricing the quality option for the general case of n deliverable assets and provide numerical illustrations of its significance. Even when the asset prices are very highly correlated, this option can have nontrivial value, especially when there is a large number of deliverable assets. We analyze the impact of the timing option and its interaction with the quality option. A procedure is developed for valuing the timing option in the presence of the quality option, and some numerical estimates are obtained.