Wang, Chou-Wen; Wu, Ting-Yi - In: Quantitative Finance 11 (2010) 3, pp. 477-485
Under a no-arbitrage assumption, the futures price converges to the spot price at the maturity of the futures contract, where the basis equals zero. Assuming that the basis process follows a modified Brownian bridge process with a zero basis at maturity, we derive the closed-form solutions of...