Radnai, M. (2004) Futures and Forward Prices - Theory and Hungarian Experience. Acta Oeconomica, 54 (2). pp. 159-174. ISSN 0001-6373
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Official URL: http://dx.doi.org/10.1556/AOecon.54.2004.2.2
Abstract
Researchers have examined the difference between forward and futures prices since the introduction of futures contracts. In this paper we derive the explicit formula for stock-index futures prices under the assumptions of lognormal asset prices, determine the relative difference between futures and forward prices, and test the model for BUX contracts traded on the Budapest Stock Exchange between 1997 and 2002.
| Item Type: | Article |
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| Subjects: | H Social Sciences / társadalomtudományok > H Social Sciences (General) / társadalomtudomány általában |
| Depositing User: | xKatalin xBarta |
| Date Deposited: | 26 Jan 2017 08:35 |
| Last Modified: | 31 Aug 2024 23:15 |
| URI: | https://real.mtak.hu/id/eprint/46294 |
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