Autore
Amerio, Emanuele

Titolo
Forward prices and futures prices: a convexity drift adjustment.
Periodico
Università degli Studi del Piemonte Orientale 'A. Avogadro' : Facoltà di Economia - Dipartimento di Scienze Economiche e Metodi Quantitativi "SEMEQ" - Quaderni
Anno: 2000 - Volume: 00 - Fascicolo: 5 - Pagina iniziale: 1 - Pagina finale: 15

We derive forward prices and futures prices on the same underlying security with the same expiration. A fundamental relationship between futures and forwards is derived as well. Finally we express forward prices in terms of futures prices by means of a convexity drift adjustment that takes into account the instantaneous correlation between futures prices and discount bonds driven by two not perfectly correlated Brownian motions.




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