Garbade and Silber (1983a) , among others] have analyzed the price discovery function of various futures markets. Their results generally support the view that the futures market provides useful information to forecast spot market price movement. This article examines the pricing relationship of E
A Note on the Stability of Lognormal Interest Rate Models and the Pricing of Eurodollar Futures
β Scribed by Klaus Sandmann; Dieter Sondermann
- Book ID
- 108550405
- Publisher
- John Wiley and Sons
- Year
- 1997
- Tongue
- English
- Weight
- 77 KB
- Volume
- 7
- Category
- Article
- ISSN
- 0960-1627
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
he volatility of interest rates has increased markedly since October of 1979, T leading to a tremendous surge in the volume of trading in interest rate futures. Investigating the effects of the increased volume on the hedging peaormance of futures contracts, Hegde (1982) finds that the hedging effe
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 discus