Journal of Financial Economics Vol. 12 No. 3 1983
A comparison of futures and forward prices
Abstract
This paper uses the pricing models of Cox, Ingersoll and Ross (1981), Richard and Sundaresan (1981), and French (1982) to examine the relation between futures and forward prices for copper and silver. There are significant differences between these prices. The average differences are generally consistent with the predictions of the futures and forward price models. However, these models are not helpful in describing intra-sample variations in the futures-forward price differences. This failure is apparently caused by measurement errors in both the price differences and in the explanatory variables.
- DOI
- 10.1016/0304-405x(83)90052-1
- Volume
- 12
- Issue
- 3
- Pages
- 311-342
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref