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Convexity Bias in the Pricing of Eurodollar Swaps

✍ Scribed by V. Pozdnyakov; J.M. Steele

Book ID
110398424
Publisher
Springer US
Year
2002
Tongue
English
Weight
220 KB
Volume
4
Category
Article
ISSN
1387-5841

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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