Arbeitspapier
Contango and Backwardation in Arbitrage-Free Futures-Markets
This paper gives a short recapitulation of the constraints for forward and futures prices under the condition that no risk-free profits can be achieved through arbitrage activities.
- Language
-
Englisch
- Classification
-
Wirtschaft
Contingent Pricing; Futures Pricing; option pricing
- Subject
-
Contango
No-Arbitrage
Backwardation
Forwards and Futures
- Event
-
Geistige Schöpfung
- (who)
-
Rau-Bredow, Hans
- Event
-
Veröffentlichung
- (who)
-
ZBW - Leibniz Information Centre for Economics
- (where)
-
Kiel, Hamburg
- (when)
-
2022
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Rau-Bredow, Hans
- ZBW - Leibniz Information Centre for Economics
Time of origin
- 2022
Other Objects (12)
Capital Budgeting in Arbitrage-Free Markets
DAX Index Futures: Mispricing and Arbitrage in German Markets
Latency arbitrage when markets become faster
Sequential markets, market power and arbitrage
Arbitrage-free models of stocks and bonds
Expectations for statistical arbitrage in energy futures markets
How arbitrage-free is the Nelson-Siegel Model?
Arbitrage-free smoothing of the implied volatility surface
Segmented Money Markets and Covered Interest Parity Arbitrage
Measuring limits of Arbitrage in fixed-income markets
Liquidity-Induced Dynamics in Futures Markets
Dynamic arbitrage-free asset pricing with proportional transaction costs
Capital Budgeting in Arbitrage-Free Markets
DAX Index Futures: Mispricing and Arbitrage in German Markets
Latency arbitrage when markets become faster
Sequential markets, market power and arbitrage
Arbitrage-free models of stocks and bonds
Expectations for statistical arbitrage in energy futures markets
How arbitrage-free is the Nelson-Siegel Model?
Arbitrage-free smoothing of the implied volatility surface
Segmented Money Markets and Covered Interest Parity Arbitrage
Measuring limits of Arbitrage in fixed-income markets
Liquidity-Induced Dynamics in Futures Markets
Dynamic arbitrage-free asset pricing with proportional transaction costs
Capital Budgeting in Arbitrage-Free Markets
DAX Index Futures: Mispricing and Arbitrage in German Markets
Latency arbitrage when markets become faster
Sequential markets, market power and arbitrage
Arbitrage-free models of stocks and bonds
Expectations for statistical arbitrage in energy futures markets
How arbitrage-free is the Nelson-Siegel Model?
Arbitrage-free smoothing of the implied volatility surface
Segmented Money Markets and Covered Interest Parity Arbitrage
Measuring limits of Arbitrage in fixed-income markets
Liquidity-Induced Dynamics in Futures Markets