Contango and Backwardation in Arbitrage-Free Futures-Markets

Rau-Bredow, Hans (2022): Contango and Backwardation in Arbitrage-Free Futures-Markets.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Contango, Backwardation, No-Arbitrage, Forwards and Futures
• Subjects: G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing ; Futures Pricing

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