A comparison of futures pricing models in a new market: the case of individual share futures
Article Abstract:
The frequent but small pricing errors in individual share futures (ISF) as tested in three models discard the likelihood of imputing pricing errors solely to research-method problems, data mining or use of a specific model. The low frequency of pricing errors exceeding transaction costs bounds also makes way for arbitrage opportunities, except for illiquid contracts. These findings confirmed that ISF contracts are fairly priced and pricing errors are due to time to expiry and, in some instance, to dividends on stock.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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Pricing Commodities When Both Price and Output Are Uncertain
Article Abstract:
A theory of spot and forward commodity pricing, where futures of agricultural commodities are indefinite, is promulgated. Farmers hedging choices are linked to output factors, though output risk has generally not been regarded as essential in such decisions. The link of output risk and commodity price is identified and evaluated. An equilibrium pricing model for futures is analyzed.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1983
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The finite sample properties of the GARCH option pricing model
Article Abstract:
The finite sample properties of the generalized autoregressive conditional heteroscedasticity model for the pricing of options are described.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2007
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