ARBITRAGE FREE PRICING OF INTEREST-RATE FUTURES AND FORWARD CONTRACTS

被引:13
作者
FLESAKER, B
机构
关键词
D O I
10.1002/fut.3990130108
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
[No abstract available]
引用
收藏
页码:77 / 91
页数:15
相关论文
共 22 条
[1]   PRICING OF COMMODITY CONTRACTS [J].
BLACK, F .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (1-2) :167-179
[2]   PRICING OF OPTIONS AND CORPORATE LIABILITIES [J].
BLACK, F ;
SCHOLES, M .
JOURNAL OF POLITICAL ECONOMY, 1973, 81 (03) :637-654
[3]   THE QUALITY OPTION AND TIMING OPTION IN FUTURES CONTRACTS [J].
BOYLE, PP .
JOURNAL OF FINANCE, 1989, 44 (01) :101-113
[4]   TREASURY BILL PRICING IN THE SPOT AND FUTURES MARKETS [J].
CAPOZZA, DR ;
CORNELL, B .
REVIEW OF ECONOMICS AND STATISTICS, 1979, 61 (04) :513-520
[5]   FORWARD AND FUTURES PRICES - EVIDENCE FROM THE FOREIGN-EXCHANGE MARKETS [J].
CORNELL, B ;
REINGANUM, MR .
JOURNAL OF FINANCE, 1981, 36 (05) :1035-1045
[6]   THE RELATION BETWEEN FORWARD PRICES AND FUTURES PRICES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
JOURNAL OF FINANCIAL ECONOMICS, 1981, 9 (04) :321-346
[7]   A THEORY OF THE TERM STRUCTURE OF INTEREST-RATES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
ECONOMETRICA, 1985, 53 (02) :385-407
[8]   INTRA-DAY TESTS OF THE EFFICIENCY OF THE TREASURY BILL FUTURES MARKET [J].
ELTON, EJ ;
GRUBER, MJ ;
RENTZLER, J .
REVIEW OF ECONOMICS AND STATISTICS, 1984, 66 (01) :129-137
[9]  
FLESAKER B, 1991, UNPUB 3 FACTOR MODEL
[10]  
FLESAKER B, 1992, UNPUB TESTING HEATH