A note on constructing spot price indices to approximate futures prices
Article Abstract:
A general formula for use in broad-based futures contract pricing is given. Evaluation of the formula is performed through a weighted linear combination of deliverable spot grade prices with time varying weights. Effectivity of the pricing formula was illustrated using data from the Chicago Board of Trade wheat futures. The formula shows that futures price can be divided into an index of deliverable grade spot prices and certain covariance terms. It also provides a basis for calculating hedge ratios for broad-based contracts.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1992
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Estimating cash settlement price: the bootstrap and other estimators
Article Abstract:
The bootstrap estimators exhibit greater accuracy than the status quo estimator (SQE) in determining cash settlement price. The approach allows the amount of trimming observations to become optimally estimated. The bootstrap estimators that showed greater accuracy are grounded on trimming or Winsorization. Two bootstrap estimators, such as the adaptive truncated mean (ATM) and adaptive Winsorized mean (AWM), post better performance as compared to other estimators such as the symmetric truncated mean (STM).
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1997
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Constructing accurate cash settlement indices: the role of index specifications
Article Abstract:
Cash settlements of futures contracts can be subject to errors and misrepresentation on the part ofbrokers. Estimation procedures should therefore be established to determine thevalidity of broker's cash settlement reporting. Three estimation procedures, the median, the symmetrically truncated average and the simple mean are evaluated in a Bayesian-Nash equilibrium model. It was suggested that an auditing procedure for cash settlements minimizes errors and encourages honest reporting.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 1992
User Contributions:
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