Hedging risk on futures contracts under stochastic interest rates

Marking-to-market, stochastic interest r

Marking-to-market, stochastic interest rates and discounts on stock index futures

✍ Jack S. K. Chang; Jean C. H. Loo 📂 Article 📅 1987 🏛 John Wiley and Sons 🌐 English ⚖ 343 KB 👁 1 views

hen stock index futures are treated as forward contracts, the equilibrium futures price is expected to be above the underlying spot index by an amount determined by the riskless rate of interest. The purpose of this article is to show that the discounts on stock index futures may occur when interest