The Quality Delivery Option in Treasury Bond Futures Contracts
用三种方法估算CBOT国债期货合约的品质期权价值，发现其价值远低于Kane和Marcus（1986a）的报告，例如交割前三个月切换最便宜可交割债券的收益平均不到面值的0.30个百分点。
This paper uses three methods to estimate quality option values for CBOT Treasury bond futures contracts. It presents evidence regarding: (1) payoffs from exercising this option at delivery, (2) estimates from a T-bond futures pricing model that incorporates this option, and (3) estimates obtained from an exchange option pricing formula. The results indicate that this option is worth considerably less than reported by Kane and Marcus (1986a). For example, payoffs obtained by switching from the bond cheapest to deliver three months prior to delivery to the one cheapest at time of delivery average less than 0.30 percentage points of par.