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Average Price Futures Contracts: Pricing, Characteristics, and Implications

Title
Average Price Futures Contracts: Pricing, Characteristics, and Implications
Author
유진
Keywords
Average price futures; Futures pricing; Expiration day effects; Price manipulation; Reference dates
Issue Date
2015-12
Publisher
WILEY-BLACKWELL
Citation
ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES, v. 44, NO 6, Page. 849-876
Abstract
We define and price average index and currency futures, show how they reduce price manipulation, explore their features as financial instruments, and discuss their policy implications. They offer investors protection against price manipulation, effective hedging, and even rational speculation. The study shows that the mean and variance of the price of an arithmetic average futures contract are functions of its reference dates and that it can be flexibly designed to meet diverse hedging needs of investors. With these features, average price futures contracts can serve as a good complement to existing plain vanilla futures.
URI
http://onlinelibrary.wiley.com/doi/10.1111/ajfs.12115/abstract;jsessionid=AB3D4FD01E25857BE37268321CB6A5DE.f04t03?systemMessage=Wiley+Online+Library+will+be+unavailable+on+Saturday+7th+Oct+from+03.00+EDT+%2F+08%3A00+BST+%2F+12%3A30+IST+%2F+15.00+SGT+to+08.00+EDT+%2F+13.00+BST+%2F+17%3A30+IST+%2F+20.00+SGT+and+Sunday+8th+Oct+from+03.00+EDT+%2F+08%3A00+BST+%2F+12%3A30+IST+%2F+15.00+SGT+to+06.00+EDT+%2F+11.00+BST+%2F+15%3A30+IST+%2F+18.00+SGT+for+essential+maintenance.+Apologies+for+the+inconvenience+caused+.http://hdl.handle.net/20.500.11754/29416
ISSN
2041-9945; 2041-6156
DOI
10.1111/ajfs.12115
Appears in Collections:
COLLEGE OF ECONOMICS AND FINANCE[S](경제금융대학) > ECONOMICS & FINANCE(경제금융학부) > Articles
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