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PRICING CRB FUTURES CONTRACTS
Author(s) -
Ehrhardt Michael C.,
Tucker Alan L.
Publication year - 1990
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1990.tb00531.x
Subject(s) - futures contract , futures market , financial economics , forward market , valuation (finance) , economics , index (typography) , commodity , empirical research , finance , world wide web , computer science , philosophy , epistemology
This study provides a valuation model to price Commodity Research Bureau Index futures contracts, now traded at the New York Futures Exchange. An empirical analysis suggests that substantial mispricing was exhibited during the early months of trading in an unseasoned Commodity Research Bureau Index futures market.