A new look at interest rate futures cont
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Ren-Raw Chen
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Article
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1992
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John Wiley and Sons
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English
โ 491 KB
## 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 r