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Un cadre unifié pour les contrats à terme

  • Desvilles, Gilles
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    Il est courant de lire que les contrats à terme financiers, future ou forward, se valorisent de manières bien distinctes selon qu’ils portent sur des actifs négociables ou sur des taux, qu’ils soient d’intérêt court-terme ou de change. L’innovation de ce papier est d’unifier dans un même cadre ces deux types de contrats.

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    Paper provided by Paris Dauphine University in its series Economics Papers from University Paris Dauphine with number 123456789/9850.

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    Date of creation: 1999
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    Publication status: Published in Cahier de recherche du CEREG, 1999
    Handle: RePEc:dau:papers:123456789/9850
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    1. Brennan, Michael J & Schwartz, Eduardo S, 1990. "Arbitrage in Stock Index Futures," The Journal of Business, University of Chicago Press, vol. 63(1), pages S7-31, January.
    2. Gay, Gerald D. & Manaster, Steven, 1984. "The quality option implicit in futures contracts," Journal of Financial Economics, Elsevier, vol. 13(3), pages 353-370, September.
    3. Cornell, Bradford & Reinganum, Marc R, 1981. "Forward and Futures Prices: Evidence from the Foreign Exchange Markets," Journal of Finance, American Finance Association, vol. 36(5), pages 1035-45, December.
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