MODELING CONTRACT FORM: AN EXAMINATION OF CASH SETTLED FUTURES

Dwight R. Sanders and Mark Manfredo

No 19069, 2002 Conference, April 22-23, 2002, St. Louis, Missouri from NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: This research presents an intuitive interpretation and expression for pricing cash settled futures contracts. In particular, the choice of the averaging period for the underlying cash index is evaluated. For example, the averaging period for the Lean Hog futures contract is two days, whereas it is thirty days for the F ed funds contract. Does the choice of the averaging period make a difference? Under certain assumptions, the behavior of the futures price prior to entering the expiration or averaging interval is independent of the length of the interval for storable commodities, but it is not for non-storable commodities.

Keywords: Marketing (search for similar items in EconPapers)
Pages: 11
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:ags:ncrtwo:19069

DOI: 10.22004/ag.econ.19069

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