PRICING CRB FUTURES CONTRACTS

Name: Work Video:
Duration: 3 min 30 s
Description: Abstract This study provides a valuation model to price Commodity Research Bureau Index futures contracts, now traded at the New York Futures Exchange. An empirical analysis suggests that substantial mispricing was exhibited during the early months of trading in an unseasoned Commodity Research Bureau Index futures market.
Michael C. Ehrhardt; Alan L. Tucker
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