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Contango and Backwardation in Arbitrage-Free Futures-Markets

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

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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.

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  • Contango and Backwardation in Arbitrage-Free Futures-Markets. (deposited 27 Jan 2022 02:56) [Currently Displayed]
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