PRICING CRB FUTURES CONTRACTS

被引：0
|
作者：
EHRHARDT, MC
TUCKER, AL
机构：
[1] UNIV TENNESSEE,KNOXVILLE,TN 37996
[2] TEMPLE UNIV,PHILADELPHIA,PA 19122
来源：
JOURNAL OF FINANCIAL RESEARCH | 1990年 / 13卷 / 01期
关键词：
D O I：
10.1111/j.1475-6803.1990.tb00531.x
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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. © The Southern Finance Association and the Southwestern Finance Association
引用
收藏
页码：7 / 14
页数：8
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