Economics, Econometrics and Finance
4 years ago

New pricing model revolutionizes futures market forecasting with promising results!

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Paper Summary

A new pricing model was developed for a market that combines price futures and yield futures. The model transforms quantity and price into two pricing processes, making it easier to apply financial theory. The researchers showed that this model can be estimated using data from yield futures and price futures markets. They created pricing formulas and tested them using data from the Chicago Board of Trade. The new approach shows promise compared to the standard Black and Scholes model.