Ignoring credit risk, when interest rates are random, must forward prices and futures prices be equal? Explain

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Ignoring credit risk, when interest rates are random, must forward prices and futures prices be equal? Explain why or why not.

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An Introduction to Derivative Securities Financial Markets and Risk Management

ISBN: 978-0393913071

1st edition

Authors: Robert A. Jarrow, Arkadev Chatterjee

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Question Posted: Dec 02, 2015 03:14 AM

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Ignoring credit risk, when interest rates are random, must forward prices and futures prices be equal? Explain

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When interest rates are random even though credit risk is absent forward and futures prices are not ...View the full answer

An Introduction to Derivative Securities Financial Markets and Risk Management

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