Synthetic Eurocurrency Interest Rate Futures Contracts: Theory and Evidence
收藏NBER1989-08-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3055
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资源简介：
In this paper, we develop a theoretical (arbitrage) pricing model for a Eurocurrency interest rate futures contract and measure its hedging effectiveness. This synthetic Eurocurrency interest rate futures contract is obtained by combining exisiting Eurodollar interest rate futures contracts with
提供机构：
美国国家经济研究局
创建时间：
1989-08-01
