this paper, we examine the S&P 500 futures contract for evidence that turn-of-the-month effects have continued. Transaction … costs are low for index futures, and the absence of short-sale restrictions makes index futures an attractive venue for … futures disappear after 1990, and this result carries over to the S&P 500 spot market. We conjecture that a change in the …

between the S&P 500 futures and cash indexes. Discontinuous arbitrage suggests that a threshold error correction mechanism may … characterize many aspects of the relationship between the futures and cash indexes. We use minute-by-minute data on the S&P 500 … futures and cash indexes. The results indicate that nonlinear dynamics are important and related to arbitrage and suggest that …

options on Eurodollar futures. Restrictions on the prices of Hermite polynomial risk for contingent claims with different …

develop valuation equations for several exchange rate instruments, from forward and futures contracts to straight options on … the spot rates to options on the futures contracts. …

their associated futures prices: the New York Stock Exchange Composite, Standard and Poor's 500, and Toronto 35. The North … find that the correlation in North American index and futures markets has declined over time. …