search query: @author Benninga, S. / total: 6
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| Author: | Benninga, S. Protopapadakis, A. |
| Title: | Forward and futures prices with Markovian interest-rate processes |
| Journal: | Journal of Business
1994 : JUL, VOL. 67:3, p. 401-422 |
| Index terms: | BUSINESS ECONOMICS FUTURE PRICES |
| Language: | eng |
| Abstract: | The authors derive a closed-form expression for the differences between forward and futures prices in the framework of a Lucas equilibrium model. The authors calculate this difference for fixed income securities in two ways: (1) using historic interest-rate data to calibrate the matrix of nominal state prices, and (2) testing a large sample of randomly generated state price matrices. The authors conclude that in economically relevant circumstances the costs of marking to market for fixed income securities are negligible. |
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