Limiting Differences Between Forward and Futures Prices in a Lucas Consumption Model

A recent paper (Benninga-Protopapadakis 1994) considered a Lucas asset pricing model and showed that the pricing of forward and futures contracts was expressible as a simple matrix function. In this paper we derive limiting conditions for these differences and relate them to the eigenvectors of the state price matrix. We show that except for a zero-measure set of state price matrices, the differences are always small.