The Quality Option and Timing Option in Futures Contracts
研究期货合约中质量期权对期货价格的影响，提出对n种可交割资产的一般定价方法，并分析时机期权与质量期权的相互作用，给出数值示例。
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.