Maturity Effects of Futures and Forward Prices in a Two-Factor General Equilibrium Model

Cesari, Riccardo (1991) Maturity Effects of Futures and Forward Prices in a Two-Factor General Equilibrium Model. Bologna: Dipartimento di Scienze economiche DSE, p. 18. DOI 10.6092/unibo/amsacta/5236. In: Quaderni - Working Paper DSE (124). ISSN 2282-6483.
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Abstract

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.

Abstract
Document type
Monograph (Working Paper)
Creators
CreatorsAffiliationORCID
Cesari, Riccardo
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ISSN
2282-6483
DOI
Deposit date
22 Jun 2016 07:57
Last modified
22 Jun 2016 07:57
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