A comparison of futures pricing models i
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Brailsford, T.J.; Cusack, A.J.
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Article
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1997
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John Wiley and Sons
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English
โ 234 KB
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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