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- W3123456269 abstract "The Italian Government security primary market avails itself of a primary dealer system. This implies that the Treasury selects among Primary Dealers a group of intermediaries called Specialists, and a number of obligations and privileges are attached to their status. Academic literature paid scant attention to the right to participate in reserved auction reopenings. This consists in the right to buy predetermined additional quantities of Government securities at the price settled at the auction. I price this privilege as a call option written on the auctioned bonds in the framework of the Cox - Ingersoll - Ross model. I find that, although the one-day life, the option has a value significantly different from zero. Moreover, the option value helps explaining part of the mispricing occurring between the primary and secondary market. The segments characterized by higher option value are not only the segments where the costs from aggressive bidding on the primary market are balanced for a larger part by the option benefit, but also the segments whose exercise rate is higher. The calibration of the CIR model over two years also provides useful insights and opens an avenue for future research." @default.
- W3123456269 created "2021-02-01" @default.
- W3123456269 creator A5061588296 @default.
- W3123456269 date "2008-01-01" @default.
- W3123456269 modified "2023-10-18" @default.
- W3123456269 title "The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening" @default.
- W3123456269 doi "https://doi.org/10.2139/ssrn.1102306" @default.
- W3123456269 hasPublicationYear "2008" @default.
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