Arbeitspapier
Maturity Effects of Futures and Forward Prices in a Two-Factor General Equilibrium Model
In the two-factor economy developed by Longstaff and Schwartz (1991) forward and futures prices of default-free bills and bonds are obtained and maturity effects analysed. It is shown that the relationship between futures price volatility and maturity is stochastic so that, as it may be seen through dynamic simulations over the 80s, the classical monotonic relation could sometimes be reversed.
- Sprache
-
Englisch
- Erschienen in
-
Series: Quaderni - Working Paper DSE ; No. 124
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Cesari, Riccardo
- Ereignis
-
Veröffentlichung
- (wer)
-
Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
- (wo)
-
Bologna
- (wann)
-
1991
- DOI
-
doi:10.6092/unibo/amsacta/5236
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Cesari, Riccardo
- Alma Mater Studiorum - Università di Bologna, Dipartimento di Scienze Economiche (DSE)
Entstanden
- 1991
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