✦ LIBER ✦

A comparison of futures pricing models in a new market: The case of individual share futures

✍ Scribed by Brailsford, T.J.; Cusack, A.J.

Publisher: John Wiley and Sons
Year: 1997
Tongue: English
Weight: 234 KB
Volume: 17
Category: Article
ISSN: 0270-7314
DOI: 10.1002/(sici)1096-9934(199708)17:5<515::aid-fut2>3.0.co;2-i

No coin nor oath required. For personal study only.

✦ Synopsis

Problems associated with pricing tests of index futures include the general inability to trade the underlying index as an individual security, thin trading in the constituent stocks of the index, and the inability to adjust for all dividend payments in the underlying index. These problems are discussed in detail later.

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