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.

Stocks, Futures market, Futures markets

---

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.

Production management, Agriculture, Commodities

---

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.

United Kingdom, Options (Finance), Product price

Similar abstracts:

• Abstracts: Perceptions of resource criticality in times of resource scarcity: the case of university departments
• Abstracts: Stock market futures; plunging into an untapped new market. The world and futures: the next 10 years. Dines, Cornish, Dohmen-Ramierez forecast the hottest markets
• Abstracts: Air cargo '82; state of the art. The dawning of a new era in trade jurisprudence. Same condition drawback
• Abstracts: Admission policies in loss queueing models with heterogeneous arrivals. Computing Optimal Control Limits For GI-M-s Queueing Systems with Controlled Arrivals
• Abstracts: Decision Analysis for Small Business. Strategies for introducing change in the small business. Decision - Support Systems

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.