This article is based on the first chapter of the author's doctoral dissertation at the University of California at Berkeley. Thanks are due to the dissertation committee members: Gerard Gennotte, Hayne Leland, Pravin Varaiya, and especially, David Modest. Funding from the Norwegian Council for Rese
Pricing of Forward and Futures Contracts
β Scribed by Ying-Foon Chow; Michael McAleer; John Sequeira
- Book ID
- 108514592
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 530 KB
- Volume
- 14
- Category
- Article
- ISSN
- 0950-0804
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
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
## Abstract We derive the general equilibrium of a dynamic financial market in which the investors' opportunity set includes nonredundant forward contracts. We show that Breeden's (1979) consumptionβbased CAPM equation for forward contracts contains an extra term relative to that for cash assets. W
Azriel Levy ## Introduction everal authors have shown that the theoretical relationship between forward and fu-S tures prices depends primarily on the assumptions regarding the stochastic process of interest rates (Cox, et. al. (1981); Richard and Sundaresan (1981); Jarrow and Oldfield (1981); an