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Document Details : Title: A Discrete Time Model for Pricing Treasury Bills, Forward, and Futures Contracts Author(s): MORGAN, I.G. , NEAVE, E.H. Journal: ASTIN Bulletin Volume: 23 Issue: 1 Date: May 1993 Pages: 3-22 DOI: 10.2143/AST.23.1.2005099 Abstract : This paper develops a discrete time model for valuing treasury bills and either forward or futures contracts written against them. It provides formulae for bill prices, forward prices, futures prices, and their conditional variances and risk premiums. The interest rate process is described by a multiplicative binomial random walk whose features conform to some principal characteristics of observed processes. Initial forward rates are constrained to match initially observed term structure data. |
