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The conundrum of stock versus bond prices

✍ Scribed by Sergei Maslov; Bertrand M Roehner

Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
345 KB
Volume
335
Category
Article
ISSN
0378-4371

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πŸ“œ SIMILAR VOLUMES

Estimating stock index futures volatilit
Estimating stock index futures volatility through the prices of their options
✍ Hun Y. Park; R. Stephen Sears πŸ“‚ Article πŸ“… 1985 πŸ› John Wiley and Sons 🌐 English βš– 714 KB

Prior to the introduction of options on the S & P 500 futures, limits were imposed on the daily changes in 'See Cox, Ingeisoll, and Ross (1981) for discussion about the differences between forward and futures contracts when interest rates are stochastic. ESTIMATING STOCK FUTURES INDEX VOI.ATII.ITY /

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✍ Bradford Cornell; Kenneth R. French πŸ“‚ Article πŸ“… 1983 πŸ› John Wiley and Sons 🌐 English βš– 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