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Contango and Backwardation in Arbitrage-Free Futures-Markets

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  • Rau-Bredow, Hans

Abstract

This paper gives a short recapitulation of the constraints for forward and futures prices under the condition that no risk-free profits can be achieved through arbitrage activities.

Suggested Citation

  • Rau-Bredow, Hans, 2022. "Contango and Backwardation in Arbitrage-Free Futures-Markets," EconStor Preprints 249292, ZBW - Leibniz Information Centre for Economics.
    • Handle: RePEc:zbw:esprep:249292
    as

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    File URL: https://www.econstor.eu/bitstream/10419/249292/1/Rau-Bredow-Contango-finalfinal-10jan22.pdf
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    References listed on IDEAS

    as
    1. Robert W. Kolb, 1992. "Is normal backwardation normal?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 12(1), pages 75-91, February.
    2. Nicholas Kaldor, 1939. "Speculation and Economic Stability," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 7(1), pages 1-27.
    3. Dimitri Speck, 2013. "The Gold Cartel," Palgrave Macmillan Books, Palgrave Macmillan, number 978-1-137-28643-7, December.
    4. Helyette Geman, 2005. "Commodities and Commodity Derivatives. Modeling and Pricing for Agriculturals, Metals and Energy," Post-Print halshs-00144182, HAL.
    5. Milonas, Nikolaos T & Thomadakis, Stavros B, 1997. "Convenience Yield and the Option to Liquidate for Commodities with a Crop Cycle," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 24(2), pages 267-283.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Contango; No-Arbitrage; Backwardation; Forwards and Futures;
    All these keywords.

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing

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