haku: @author Ehrhardt, M. C. / yhteensä: 7
viite: 4 / 7
| Tekijä: | Ehrhardt, M. C. Tucker, A. L. |
| Otsikko: | Pricing CRB futures contracts |
| Lehti: | Journal of Financial Research
1990 : SPRING, VOL. 13:1, p.7-14 |
| Asiasana: | MARKETS FUTURES MARKETS |
| Kieli: | eng |
| Tiivistelmä: | The authors present a valuation model to price Commodity Research Bureau Index futures contacts, now traded at the New York Futures Exchange. An empirical analysis suggests that significant mispricing occurred during the early months of trading in an unseasoned CRBI futures market, but the market was approaching an equilibrium consistent with the theoretical model. |
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