✦ LIBER ✦

Pricing stock index futures with stochastic interest rates

✍ Scribed by Nusret Cakici; Sris Chatterjee

Publisher: John Wiley and Sons
Year: 1991
Tongue: English
Weight: 808 KB
Volume: 11
Category: Article
ISSN: 0270-7314
DOI: 10.1002/fut.3990110404

No coin nor oath required. For personal study only.

✦ Synopsis

This research was partly funded by a grant from the Coordinating Council of Business Studies at Rutgers University. We gratefully acknowledge the superb research assistance of Steve Alessandrini, and the comments of two anonymous referees. This paper was presented at the 1990 meeting of the Northern Finance Association at Banf, and we have greatly benefited from the comments of Peter Carr who was the discussant for the paper. All remaining errors are our own.

📜 SIMILAR VOLUMES

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 👁 2 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

The pricing of stock index futures

✍ Bradford Cornell; Kenneth R. French 📂 Article 📅 1983 🏛 John Wiley and Sons 🌐 English ⚖ 840 KB

he prices observed for stock index futures have surprised both academics and T practitioners. The price structure, which gives the relation between the futures and spot prices as a function of the time to maturity, is generally flatter than simple arbitrage models predict. In fact, the futures price

The “weekend effect” for stock indexes a

The “weekend effect” for stock indexes and stock index futures: Dividend and interest rate effects

✍ Frederick J. Phillips-Patrick; Thomas Schneeweis 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 458 KB

Thomas Schneeweis\* ver the last ten years, several academic studies have identified a statistical-0 ly significant weekly pattern in stock returns.' Similar effects have been found in stock index futures.\* The results of these studies show that the average return of stock indexes and stock index f

An empirical examination of composite st

An empirical examination of composite stock index futures pricing

✍ Edward M. Saunders Jr.; Arvind Mahajan 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 1009 KB

T composite stock index futures prices to associated normative prices as specified by an arbitrage argument while controlling for significant market imperfections. This research contrasts with earlier empirical works in several ways. First, the arbitrage argument is maintained despite the assumption

The pricing and performance of stock ind

The pricing and performance of stock index futures spreads

✍ Randall S. Billingsley; Don M. Chance 📂 Article 📅 1988 🏛 John Wiley and Sons 🌐 English ⚖ 881 KB

Pricing interest rate futures options wi

Pricing interest rate futures options with futures-style margining

✍ Ren-Raw Chen; Louis Scott 📂 Article 📅 1993 🏛 John Wiley and Sons 🌐 English ⚖ 426 KB

which follow diffusion processes are assumed and the instantaneous interest rate, r Cy,), and the spot price, Sot,) are determined. One of the state variables may be a spot price. lIf the option is American, it can be exercised on or before the expiration date. If the option is European, it can be e