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It is commonly accepted that Commodities futures and forward prices, in principle, agree under some simplifying assumptions. One of the most relevant assumptions is the absence of counterparty risk. Indeed, due to margining, futures have practically
Externí odkaz:
http://arxiv.org/abs/0901.1099
Autor:
Bakkar, Imane, Brigo, Damiano
Publikováno v:
Risk. Jun2018, Vol. 31 Issue 6, p61-61. 1p.