Index (USDX) is a geometric weighted average of ten T major foreign exchange (FX) rates, expressed in index form relative to the geometric weighted average of March 1973 (the base).\* Formally, if we denote by Si and Bi the spot FX rates of country i expressed in "American terms" (U.S. dollars per f
A theoretical comparison of composite index futures contracts
β Scribed by Donald Lien; Xiangdong Luo
- Publisher
- John Wiley and Sons
- Year
- 1993
- Tongue
- English
- Weight
- 903 KB
- Volume
- 13
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
I n principle, investors could use stock option contracts (i.e., call options) to obtain pre-tax capital gains while simultaneously keeping the balance of their assets in no-risk or low-risk interest bearing securities. However, it would be difficult to achieve capital gains returns equivalent to th
This article examines if changes in short sales constraints affect the extent to which index futures contracts are mispriced. In particular, the study analyzes the mispricing of the Hong Kong Hang Seng Index futures contracts. Tests are conducted over three distinct regulatory regimes relating to th
ecent theoretical research has developed two valuation models for pricing R options on futures contracts-a European version, and a more complex American variant. The purpose of this article is to compare the pricing behavior of the two models and develop some implications for the use of European mod
E risk and returns has attracted much attention from academics and practitioners. Three benefits of using futures are usually identified: Speculation, through which portfolio managers hope to profit by buying or selling contracts; arbitrage, through which managers take advantage of price inconsisten
## Abstract Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSEβ100 Index futures and the FTSEβ100 European index options contracts. This study uses the putβcallβfutures parity