PRICING OF FORWARD AND FUTURES CONTRACTS

Y-F. Chow, Michael Mcaleer, J.M. Sequeira

Research output: Contribution to journalArticlepeer-review

28 Citations (Scopus)

Abstract

There has long been substantial interest in understanding the relative pricing of forward and futures contracts. This has led to the development of two standard theories of forward and futures pricing, namely, the Cost-of-Carry and the Risk Premium (or Unbiased Expectations) hypotheses. These studies have modelled the relationship between spot and forward/futures prices either through a no-arbitrage condition or a general equilibrium setting. Relatively few studies in this area have considered the impact of stochastic trends in the data. with the emergence of non-stationarity and cointegration in recent years, more sophisticated models of futures/forward prices have been specified. This paper surveys the significant contributions made to the literature on the pricing of forward/futures contracts, and examines recent empirical studies pertaining to the estimation and testing of univariate and systems models of futures pricing.
Original languageEnglish
Pages (from-to)215-253
JournalJournal of Economic Surveys
Volume14
Issue number2
DOIs
Publication statusPublished - 2000

Fingerprint

Dive into the research topics of 'PRICING OF FORWARD AND FUTURES CONTRACTS'. Together they form a unique fingerprint.

Cite this