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A comparison of futures and forward prices

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Author Info
French, Kenneth R.

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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 12 (1983)
Issue (Month): 3 (November)
Pages: 311-342
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Handle: RePEc:eee:jfinec:v:12:y:1983:i:3:p:311-342

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  1. Heinz Zimmermann & Claudia Zogg-Wetter, 1997. "Preisbildung am schweizerischen SMI-Futuresmarkt: Arbitrage und dynamische Preisbeziehungen," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(II), pages 95-132, June. [Downloadable!]
  2. Berglund, T. & Kabir, R., 1995. "What explains the difference between the futures' price and its "fair" value? : evidence from the european options exchange," Discussion Paper 83, Tilburg University, Center for Economic Research. [Downloadable!]
  3. Anurag Gupta & Marti G. Subrahmanyam, 1999. "An Empirical Examination of the Convexity Bias in the Pricing of Interest Rate Swaps," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-001, New York University, Leonard N. Stern School of Business-. [Downloadable!]
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  4. Pindyck, Robert S., 1990. "Inventories and the short-run dynamics of commodity prices," Working papers 3133-90., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  5. Eric Benhamou, 2002. "A Martingale Result for Convexity Adjustment in the Black Pricing Model," Finance 0212005, EconWPA. [Downloadable!]
  6. Pindyck, Robert S., 1991. "The present value model of rational commodity pricing," Working papers 3354-91., Massachusetts Institute of Technology (MIT), Sloan School of Management. [Downloadable!]
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  7. Robert J. Hodrick & Sanjay Srivastava, 1985. "Foreign Currency Futures," NBER Working Papers 1743, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
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