spot arbitrage【经】 现汇套购 exchange of spot or cash commidity for futures【经】 以现货交换期货的交易 futures style option on futures期货式的期货选择权 英国曾将期货选择权的交易方式比照期货,买方仅支付部分权利金(*premium),再行每日结算,但风险非常高。 参见:options on futures. ...
The listing of CSI300 index futures provides the actual data basis for positive analysis of futures and spot arbitrage.Firstly,the paper introduces the conception and classification of arbitrage.Secondly,it builds the futures and spot arbitrage model for index futures. Finally,this article implements ...
In addition, by changing the number of arbitrageurs, we study the impact of arbitrage behavior on market liquidity, volatility and price efficiency. The results show that introducing the futures into spot market can decrease volatility, and increase liquidity and price efficiency. However, a further...
the PTA futures pricing model began to appear. "PTA point price mode is mainly prevalent in the market after the current arbitrage opportunities." Wu Wenhai said that the buyers and sellers of the market are buying and selling the warehouse receipts according to the price of the futures contrac...
Although spot prices can vary by time and geographic regions, the prices are fairly homogenous in financial markets. The uniformity of prices across different financial markets does not allow market participants to exploitarbitrageopportunities from significant price disparities for the same asset in diffe...
Appealing to general arbitrage theory (see e.g. Duffie, 1992, Ch.1), we define the futures price f(t,τ) at time t for a contract maturing at time τ byftτ=EQSτ|Ft,0≤t≤τ<∞,where Q is a risk-neutral probability measure. This definition is valid as long as S(τ) ∈ L1...
Index arbitrage and dynamics between REIT index futures and spot pricesArbitrageREIT index futuresthreshold modelhedging effectivenessThis article contributes to the real estate literature by investigating the pricing relationship between REIT index futures and spot. Based on the cost-of-carry model, we ...
In commodity markets, the convergence of futures towards spot prices as the time tomaturity of the contracts goes to zero is usually justified by no-arbitrage arguments. Inthis paper we propose an alternative approach, that relies on the expected profit maxi-mization problem of an agent producing...
In general, short-term investors, such as arbitragers or speculators, are more concerned about the comovement of crude oil spot prices, aiming at higher frequency data (variation) and short-term futures contracts; contrarily, long-term investors (e.g., oil producers or policymakers) mostly ...
According to the fundamental asset pricing theory, under the assumption of no arbitrage opportunities, the asset price must follow a semi-martingale. A semi-martingale can be decomposed into the sum of a drift, a continuous local martingale, and a discontinuous part (or a jump process). Conside...