Static Arbitrage: Forwards and Futures

Michael Allingham
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Michael Allingham: University of Kent

Chapter 5 in Arbitrage, 1991, pp 101-118 from Palgrave Macmillan

Abstract: Abstract This chapter extends the basic arbitrage theorem to a many-period setting. It commences by using static arbitrage to explain forward prices, and then proceeds to explain futures prices.

Keywords: Discount Factor; Future Price; Future Contract; Static Arbitrage; Bond Price (search for similar items in EconPapers)
Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-1-349-21385-6_5

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DOI: 10.1007/978-1-349-21385-6_5

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