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Une nouvelle comparaison entre future et forward [extrait BMI 48]
Author : Desvilles Gilles
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En supposant les appels de marge ni réinvestis ni refinancés, et un marché efficient, l'article montre à l'achat le prix du future est inférieur à celui du forward, et qu'à la vente il lui est supérieur. Cette différence théorique de prix est due à l'organisation distincte des marchés de futures et forwards. Un test en temps réel sur le future Euribor 3 mois met en relief la supériorité - prix des futures sur leurs équivalents forward élaborés à l'aide de swaps et de prêts-emprunts.Auteurs :Desvilles Gilles
Extrait de la revue BMI 48
BMI48-1098197
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Sommaire
- Ownership and Control Structure of French Listed Firms
- The choice of debt maturity
- New Evidence of Currency Forward Premium Anomaly: Empirical Analysis with Multivariate Non-Linear Mo
- Organizational typologies and performance of mutual fund managers
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- Ownership and Control Structure of French Listed Firms
- The choice of debt maturity
- New Evidence of Currency Forward Premium Anomaly: Empirical Analysis with Multivariate Non-Linear Mo
- Organizational typologies and performance of mutual fund managers
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