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Are there arbitrage opportunities in the treasury‐bond futures market? · Study

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ArticleAre there arbitrage opportunities in the treasury‐bond futures market?

Robert W. Kolb1982

Article1982

Are there arbitrage opportunities in the treasury‐bond futures market?

Robert W. Kolb · Gerald D. Gay · James V. Jordan

21 citations·0/0 files stored·Journal of Futures Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Market Dynamics and Volatility

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References

1970EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*1970Efficient Capital Markets: A Review of Theory and Empirical Work 1976The pricing of commodity contracts 1981The relation between forward prices and futures prices 1981Forward contracts and futures contracts 1981Forward and Futures Prices: Evidence from the Foreign Exchange Markets 1979The Efficiency of the Treasury Bill Futures Market 1979Treasury Bill Pricing in the Spot and Futures Markets

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1990Quality Option Profits, Switching Option Profits, and Variation Margin Costs: An Evaluation of Their Size and Impact on Treasury Bond Futures Prices

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1988Market Trading Structures and Asset Pricing: Evidence from the Treasury-Bill Marketsarticle · 6 shared references 1993Arbitrage free pricing of interest rate futures and forward contractsarticle · 6 shared references 1987An application of arbitrage pricing theory to futures markets: Tests of normal backwardationarticle · 6 shared references 1984Cash‐and‐carry trading and the pricing of treasury bill futuresarticle · 6 shared references 1991Do treasury bill futures rates satisfy rational expectation properties?article · 6 shared references 1981Forward and futures pricing of treasury billsarticle · 6 shared references

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Year1982

Typearticle

Published1982-09-01

VenueJournal of Futures Markets

ISSN-L0270-7314

Languageen

Citations21

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1002/fut.3990020302

openalex_workW2056846342

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