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Forward contracts and futures contracts


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  • Jarrow, Robert A.
  • Oldfield, George S.


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Bibliographic Info

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

Volume (Year): 9 (1981)
Issue (Month): 4 (December)
Pages: 373-382

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Handle: RePEc:eee:jfinec:v:9:y:1981:i:4:p:373-382

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Cited by:
  1. Gang-Zhi Fan & Ming Pu & Seow Ong, 2012. "Optimal Portfolio Choices, House Risk Hedging and the Pricing of Forward House Transactions," The Journal of Real Estate Finance and Economics, Springer, vol. 45(1), pages 3-29, June.
  2. Hranaiova, Jana & Tomek, William G., 1999. "The Timing Option In Futures Contracts And Price Behavior At Contract Maturity," Working Papers 14740, Cornell University, Department of Applied Economics and Management.
  3. Wiener, Zvi & Benninga, Simon & Protopapadakis, Aris, 2000. "Limiting differences between forward and futures prices in a Lucas consumption model," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 10(2), pages 151-161, June.
  4. Jayendu Patel & Richard J. Zeckhauser, 1987. "Treasury Bill Futures as Hedges Against Inflation Risk," NBER Working Papers 2322, National Bureau of Economic Research, Inc.
  5. Annie Koh & Richard M. Levich, 1989. "Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence," NBER Working Papers 3055, National Bureau of Economic Research, Inc.
  6. Kang, Jangkoo & Park, Hyoung-Jin, 2006. "Tests of alternate models for the pricing of Korean Treasury bond futures contracts," Pacific-Basin Finance Journal, Elsevier, vol. 14(4), pages 410-425, September.
  7. Kempf, Alexander & Spengel, Christoph, 1993. "Die Bewertung des DAX-Futures: Der Einfluß von Dividenden," ZEW Discussion Papers 93-12, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  8. Bulte, E.H. & Pennings, J. & Heijman, W.J.M., 1996. "Futures markets, price stabilization and efficient exploitation of exhaustible resources," Open Access publications from Tilburg University urn:nbn:nl:ui:12-80134, Tilburg University.
  9. Aliber, Robert Z. & Chowdhry, Bhagwan & Yan, Shu, 2000. "Transactions Costs in the Foreign Exchange Market," University of California at Los Angeles, Anderson Graduate School of Management qt4qw3p6rp, Anderson Graduate School of Management, UCLA.
  10. Arie Harel & Giora Harpaz & Jack Francis, 2007. "Pricing futures on geometric indexes: A discrete time approach," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 227-240, April.
  11. 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-.
  12. Yen, Simon & Wang, Jai Jen, 2009. "Information-time based futures pricing," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 388(18), pages 3826-3836.
  13. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953,
  14. Lin, James Wuh, 1996. "Arbitrage, carrying costs, and inflation: A reexamination of market efficiency in treasury bill futures," International Review of Economics & Finance, Elsevier, vol. 5(2), pages 207-222.
  15. Joshua V. Rosenberg & Leah G. Traub, 2006. "Price discovery in the foreign currency futures and spot market," Staff Reports 262, Federal Reserve Bank of New York.
  16. Wimschulte, Jens, 2010. "The futures and forward price differential in the Nordic electricity market," Energy Policy, Elsevier, vol. 38(8), pages 4731-4733, August.
  17. Bick, Avi, 2012. "The relationship between reciprocal currency futures prices," Finance Research Letters, Elsevier, vol. 9(4), pages 194-201.
  18. Anatoliy Swishchuk & Maksym Tertychnyi & Winsor Hoang, 2014. "Currency Derivatives Pricing for Markov-modulated Merton Jump-diffusion Spot Forex Rate," Papers 1402.2273,


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