PRICING FORWARD-FUTURES SPREAD BASED ON COPULAS WITH STOCHASTIC SIMULATION
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This paper focuses on computational contractual distinctions as an ex-planation for the spread between a forward contract and a similar futures contractwhich is derived and investigated. We evaluate this spread by constructing a timeseries model, which was established based on copula functions, and also show thatthe forward-futures spread is more signi¯cant for long maturity.
Abstract
This paper focuses on computational contractual distinctions as an ex-planation for the spread between a forward contract and a similar futures contractwhich is derived and investigated. We evaluate this spread by constructing a timeseries model, which was established based on copula functions, and also show thatthe forward-futures spread is more signi¯cant for long maturity.
참고문헌 (12)
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