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The pricing of dollar index futures contracts

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  • T. Hanan Eytan
  • Giora Harpaz
  • Steven Krull

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  • T. Hanan Eytan & Giora Harpaz & Steven Krull, 1988. "The pricing of dollar index futures contracts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 8(2), pages 127-139, April.
    • Handle: RePEc:wly:jfutmk:v:8:y:1988:i:2:p:127-139
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    Cited by:

    1. Arie Harel & Giora Harpaz & Jack Francis, 2007. "Pricing futures on geometric indexes: A discrete time approach," Review of Quantitative Finance and Accounting, Springer, vol. 28(3), pages 227-240, April.
    2. Young-Hye Cho & Robert F. Engle, 1999. "Modeling the Impacts of Market Activity on Bid-Ask Spreads in the Option Market," NBER Working Papers 7331, National Bureau of Economic Research, Inc.
    3. Vivek Bhargava & John M. Clark, 2003. "Pricing U.S. Dollar Index Futures Options: An Empirical Investigation," The Financial Review, Eastern Finance Association, vol. 38(4), pages 571-590, November.
    4. 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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