Harel, Arie; Harpaz, Giora; Francis, Jack - In: Review of Quantitative Finance and Accounting 28 (2007) 3, pp. 227-240
Several futures contracts are written against an underlying asset that is a geometric, rather than arithmetic, index. These contracts include: the US Dollar Index futures, the CRB-17 futures, and the Value Line geometric index futures. Due to the geometric averaging, the standard cost-of-carry...
