Affiliation:
1. 1 Ramasoft Co. H-1051 Budapest, Hercegprímás u. 19, Hungary
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.
Subject
Economics and Econometrics
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