Marking-to-market, stochastic interest rates and discounts on stock index futures
An attempt is made to show that the discounts on stock index futures may occur when interest rates are stochastic and marking-to-market is considered. First, a futures pricing equation is established by discounting the expected cash flows of futures contracts at a required rate of return derived in...
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Veröffentlicht in: | The journal of futures markets 1987-02, Vol.7 (1), p.15-20 |
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Hauptverfasser: | , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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