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

Zvi Wiener, Simon Benninga and Aris Protopapadakis

Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research

Abstract: 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.

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Journal Article: Limiting differences between forward and futures prices in a Lucas consumption model (2000)
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