PRICING FORWARD-FUTURES SPREAD BASED ON COPULAS WITH STOCHASTIC SIMULATION

Yuqi Pu, Seki Kim
2014 The Pure and Applied Mathematics  
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.
doi:10.7468/jksmeb.2014.21.1.77 fatcat:vcbrme643jh7pf7cnsjwgnfppm