caa a22 4500 386308756 CHVBK 20180307111538.0 cr unu---uuuuu 161130e198809 xx s 000 0 eng 10.2307/2331072 doi S0022109000013168 pii (NATIONALLICENCE)cambridge-10.2307/2331072 The Delivery Option on Forward Contracts: A Note [Elektronische Daten] A number of futures contracts conveys to the short position various delivery options regarding the quality and exact timing of delivery. Moreover, the compensation to the long position is not solely determined by the market value of the delivered asset at the time of delivery. Sometimes, the long position can hedge this delivery risk by holding an appropriate portfolio of the underlying asset. It often has been stated that whenever the long position can form a dynamic hedge against the delivery risk, the delivery option has a zero value. This paper demonstrates the implication of such erroneous intuition to the pricing of options. It is shown that the root of the issue is the property of diffusion processes whereas, within a given time interval, a random variable either will never cross a given boundary or else, cross it an infinite number of times. Copyright © School of Business Administration, University of Washington 1988 Kane Alex Marcus Alan J. Journal of Financial and Quantitative Analysis Cambridge University Press 23/3(1988-09), 337-341 0022-1090 23:3<337 1988 23 JFQ https://doi.org/10.2307/2331072 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331072 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Kane Alex NATIONALLICENCE 700 1- Marcus Alan J. NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 23/3(1988-09), 337-341 0022-1090 23:3<337 1988 23 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge