Relative Prices of Options, Forward Contracts, And Futures Contracts :: Theory And Evidence /$$bc By Gautam Dhingra
Relative Prices of Options, Forward Contracts, And Futures Contracts :: Theory And Evidence /$$bc By Gautam Dhingra
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In our eReader you can find the full English version of the book. Read Relative Prices of Options, Forward Contracts, And Futures Contracts :: Theory And Evidence /$$bc By Gautam Dhingra Online - link to read the book on full screen. Our eReader also allows you to upload and read Pdf, Txt, ePub and fb2 books. In the Mini eReder on the page below you can quickly view all pages of the book - Read Book Relative Prices of Options, Forward Contracts, And Futures Contracts :: Theory And Evidence /$$bc By Gautam Dhingra
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31 Quasi-Arbitraqe Opportunities in the Futures Market Since futures prices are found to be higher than forward prices by an amount greater than that predicted by the CIR model, and since the CIR model is based on a non-arbitrage condition, it would seem that a profit opportunity exists which can be exploited by taking opposite positions in spot market and futures market. However, the problem with this strategy is that it is not riskfree because futures prices and bond prices in future are unkn...own. An investor shorting a futures contract can lose on the futures position if futures prices go up, and this loss can be accentuated if interest rates also go up. At the same time, there will likely be a profit on the long spot position since spot prices usually move in tandem with futures prices. But the uncertainty regarding the future values of futures prices, spot prices, and bond prices implies that it is impossible to design a "perfect" (riskless) arbitrage strategy. Nevertheless, it is shown in this study that the market does offer opportunities to design trading strategies which require zero investment and still yield positive payoffs even under some of the most pessimistic scenarios.
What to read after Relative Prices of Options, Forward Contracts, And Futures Contracts :: Theory And Evidence /$$bc By Gautam Dhingra?
You can find similar books in the "Read Also" column, or choose other free books by Dhingra, Gautam to read onlineMoreLess
To quickly assess the difficulty of the text, read a short excerpt:
31 Quasi-Arbitraqe Opportunities in the Futures Market Since futures prices are found to be higher than forward prices by an amount greater than that predicted by the CIR model, and since the CIR model is based on a non-arbitrage condition, it would seem that a profit opportunity exists which can be exploited by taking opposite positions in spot market and futures market. However, the problem with this strategy is that it is not riskfree because futures prices and bond prices in future are unkn...own. An investor shorting a futures contract can lose on the futures position if futures prices go up, and this loss can be accentuated if interest rates also go up. At the same time, there will likely be a profit on the long spot position since spot prices usually move in tandem with futures prices. But the uncertainty regarding the future values of futures prices, spot prices, and bond prices implies that it is impossible to design a "perfect" (riskless) arbitrage strategy. Nevertheless, it is shown in this study that the market does offer opportunities to design trading strategies which require zero investment and still yield positive payoffs even under some of the most pessimistic scenarios.
What to read after Relative Prices of Options, Forward Contracts, And Futures Contracts :: Theory And Evidence /$$bc By Gautam Dhingra?
You can find similar books in the "Read Also" column, or choose other free books by Dhingra, Gautam to read onlineMoreLess
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