Parameswaran, S.K. (2011) Futures and Options Concepts and Applications. McGraw-Hill, Singapore. - References

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Parameswaran, S.K. (2011) Futures and Options: Concepts and Applications. McGraw-Hill, Singapore.

has been cited by the following article:

TITLE: Reallocating the Right to Choose the Delivery Grade in Futures Markets

AUTHORS: Shantaram Hegde, Sankarshan Basu, Sunil K. Parameswaran

KEYWORDS: Futures Valuation, Market Manipulation

JOURNAL NAME: Theoretical Economics Letters, Vol.9 No.4, March 29, 2019

ABSTRACT: We study the futures valuation and market manipulation implications of reallocating the right to choose the delivery grade from the short to the long futures position and show that the futures price will converge to the price of the most expensive-to-deliver grade asset at delivery. The shifting of the delivery grade option to the long has the potential to mitigate excessive selling of futures contracts in a crisis, thus contributing to price stabilization. However, it may distort the incentives for the longs, leading to large futures and “corner and squeeze” trades to raise the delivery time spot price above the locked-in futures price.

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