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
The relationship between forward and futures contracts: A comment
β Scribed by Bjorn Flesaker
- Publisher
- John Wiley and Sons
- Year
- 1991
- Tongue
- English
- Weight
- 159 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract In recent years, commercial interest has been expressed in agricultural revenue insurance instruments. Participating parties may look to futures markets to offset assumed positions. In this note, conditions are identified such that revenue futures contracts are perfect substitutes for p
In a recent issue of this Journal, 1 Dilip Ghosh confuses the concept of a (known) forward interest rate with that of a (random) future short-term interest rate. As a result, both of his main conclusions-that combining interest rate forwards with foreign exchange (FX) forwards produces a new version
## Abstract Despite the importance of the London markets and the significance of the relationship for market makers, little published research is available on arbitrage between the FTSEβ100 Index futures and the FTSEβ100 European index options contracts. This study uses the putβcallβfutures parity