✦ LIBER ✦

A new look at interest rate futures contracts

✍ Scribed by Ren-Raw Chen

Publisher: John Wiley and Sons
Year: 1992
Tongue: English
Weight: 491 KB
Volume: 12
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990120505

No coin nor oath required. For personal study only.

✦ Synopsis

INTEREST RATE FUTURES

/ 545 work with. Results generated by simulations suggest that unless investors are highly risk averse, discrete futures prices are little different from the continuous ones, implying that either the Chen (1992) or the Cox et al. (1981) futures model should work well for real contracts.

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