摘要：This paper estimates values of the delivery options implicit in the CBOT corn futures contract.Joint values of the timing and location options are estimated for the years 1989-97. Byinteracting the effects of the two delivery options, a potentially more accurate estimates areobtained. Two models are presented that rely on different assumptions about the institutionalsetup of the delivery process. The first model approximates the discreteness of the three daydelivery process, while the second model relies on an assumption of immediate delivery that isconsistent with the existing literature on pricing options. Individual hedgers can use thesemodels to help them make delivery decisions. When all the costs of delivery are incorporated,true value of the delivery options can be obtained analytically. This can then be used todetermine possible mispricing in the market as well as optimality of delivering early or delayingdelivery. The estimated option values are used to explain the variability of bases in thedeliverable locations. This application is useful for the exchange in evaluating hedgingperformance of futures contracts with respect to the delivery options embedded in them.
