[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.7468/jksmeb.2014.21.1.77

PRICING FORWARD-FUTURES SPREAD BASED ON COPULAS WITH STOCHASTIC SIMULATION

Pu, Yuqi (Department of Mathematics, Sungkyunkwan University)
Kim, Seki (Department of Mathematics, Sungkyunkwan University)

Publication Information

The Pure and Applied Mathematics / v.21, no.1, 2014 , pp. 77-93 More about this Journal

Abstract

This paper focuses on computational contractual distinctions as an explanation for the spread between a forward contract and a similar futures contract which is derived and investigated. We evaluate this spread by constructing a time series model, which was established based on copula functions, and also show that the forward-futures spread is more significant for long maturity.

Keywords

copulas; forward-futures spread; time series model; stochastic simulation;

Citations & Related Records

Reference

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