Is normal backwardation normal? Valuing financial futures with a local index-rate covariance

DOI10.1016/j.ejor.2021.06.051zbMath1490.91221OpenAlexW3179594677MaRDI QIDQ2076945

Philippe Raimbourg, Paul Zimmermann

Publication date: 22 February 2022

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.06.051

zbMATH Keywords

stochastic covariance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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