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| Tekijä: | Chang, J.S.K. Loo, J.C.H. Wu Chang, C.C. |
| Otsikko: | The pricing of futures contracts and arbitrage pricing theory |
| Lehti: | Journal of Financial Research
1991 : WINT, VOL. 13:4, p.297-306 |
| Asiasana: | MODELS FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | When interest rates are random, the cash flows of futures and forward contracts differ because of the marking-to-market requirement of futures contracts. The authors examine the price effect of this difference, by applying the risk and return model of the arbitrage pricing theory. An empirical study is conducted on the Major Market Index futures from 1984 to 1985. Results indicate that the covariance yielded by the Kalman-filter is significant in the pricing of futures contracts. |
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