The pricing of stock index futures
โ
Bradford Cornell; Kenneth R. French
๐
Article
๐
1983
๐
John Wiley and Sons
๐
English
โ 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