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Limiting differences between forward and futures prices in a Lucas consumption model

Wiener, Zvi; Benninga, Simon; Protopapadakis, Aris A. - 1995

Persistent link: https://www.econbiz.de/10000925751

General equilibrium properties of the term structure of interest rates

Benninga, Simon - In: Journal of financial economics 16 (1986) 3, pp. 389-410

Persistent link: https://www.econbiz.de/10001015142

The stock market premium, production, and relative risk aversion

Benninga, Simon - In: The American economic review 81 (1991) 3, pp. 591-599

Persistent link: https://www.econbiz.de/10001107489

Leverage, time preference, and the "equity premium puzzle"

Benninga, Simon - In: Journal of monetary economics 25 (1990) 1, pp. 49-58

Persistent link: https://www.econbiz.de/10001086374

Limiting differences between forward and futures prices in a Lucas consumption model

Wiener, Zvi; Benninga, Simon; Protopapadakis, Aris A. - 1994

Persistent link: https://www.econbiz.de/10000893125

Forward and futures prices with Markovian interest-rate processes

Benninga, Simon - In: The journal of business : B 67 (1994) 3, pp. 401-421

Persistent link: https://www.econbiz.de/10001167693

The equilibrium pricing of exchange rates and assets when trade takes time

Benninga, Simon - In: Journal of international money and finance 7 (1988) 2, pp. 129-149

Persistent link: https://www.econbiz.de/10001062847

The neutrality of the real equilibrium under alternative financing of government expenditures

Benninga, Simon; Protopapadakis, Aris - 1983

Persistent link: https://www.econbiz.de/10001893554

Real and nominal interest rates under uncertainty : the Fisher theorem and the term structure

Benninga, Simon; Protopapadakis, Aris - In: Journal of political economy 91 (1983) 5, pp. 856-867

Persistent link: https://www.econbiz.de/10001893579

Forward and Future Prices with Markovian Interest-Rate Processes

Protopapadakis, Aris - 2001

We derive a closed-form expression for the difference between forward and futures prices in the framework of a Lucas equilibrium model. We calculate this difference for fixed income securities in two ways: (1) using historic interest-rate data to calibrate the matrix of nominal state prices, and...

Persistent link: https://www.econbiz.de/10012788517