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Producing Derivative Assets with Forward Contracts

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  • Bick, Avi

Abstract

This paper shows how a derivative security can be duplicated by a forward strategy, and, hence, priced by arbitrage in terms of the forward price.

Suggested Citation

  • Bick, Avi, 1988. "Producing Derivative Assets with Forward Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 23(2), pages 153-160, June.
    • Handle: RePEc:cup:jfinqa:v:23:y:1988:i:02:p:153-160_01
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    Cited by:

    1. Fernandez, Pablo & Ariño, Miguel A., 1996. "Derivados exóticos," IESE Research Papers D/308, IESE Business School.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.

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