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Equity Forwards and Futures Valuation
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Foreign exchange futures, Futures market, Valuation
- Item Type:
- Report
- Tag(s):
- forward, futures, derivative valuation
- Permanent URL:
- https://doi.org/10.17613/z94b-8795
- Abstract:
- We review the equity forward and futures pricing models. Consider an index level, I, at a future time, T. With respect to I, we calculate 1) the forward price, 2) the futures price, and 3) delta.
- Notes:
- https://hal.science/hal-03749503v1/file/cancellationDerivatives.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- Attribution
forwardfuturesmodel.pdf