Is normal backwardation normal? : valuing financial futures with a local index-rate covariance
Year of publication: |
2022
|
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Authors: | Raimbourg, Philippe ; Zimmermann, Paul |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 298.2022, 1 (1.4.), p. 351-367
|
Subject: | Finance | Futures contracts | Normal backwardation | Risk management | Stochastic covariance, | Theorie | Theory | Derivat | Derivative | Risikomanagement | Stochastischer Prozess | Stochastic process | CAPM |
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