Foreign Exchange Forward and Futures Prices: Are They Equal?
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- Jeng, Jau-Lian, 1999. "Interest parity, fractional differencing, and the strength of attraction: a reexamination of the cost-of-carry futures pricing model," Global Finance Journal, Elsevier, vol. 10(1), pages 25-34.
- Lioui, Abraham, 1998. "Currency risk hedging: Futures vs. forward," Journal of Banking & Finance, Elsevier, vol. 22(1), pages 61-81, January.
- 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.
- Carolyn W. Chang & Jack S. K. Chang & Hsing Fang, 1996. "Optimal Futures Hedge With Marking-To-Market And Stochastic Interest Rates," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 19(3), pages 309-326, September.
- Lioui, Abraham, 1999. "Spreading currency forwards: why and how?," Journal of International Money and Finance, Elsevier, vol. 18(2), pages 305-317, February.
- Lioui, Abraham & Poncet, Patrice, 2002. "Optimal currency risk hedging," Journal of International Money and Finance, Elsevier, vol. 21(2), pages 241-264, April.
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