Normal backwardation, also sometimes called backwardation, is the market condition where the price of a commodity's forward or futures contract is trading...
8 KB (959 words) - 01:20, 9 June 2023
as a normal market or carrying-cost market. The opposite market condition to contango is known as backwardation. "A market is 'in backwardation' when...
25 KB (3,366 words) - 21:50, 20 September 2024
( S T ) > F 0 {\displaystyle E(S_{T})>F_{0}} , is referred to as normal backwardation. Forward/futures prices converge with the spot price at maturity...
23 KB (3,623 words) - 07:20, 3 October 2024
pricing Forward rate Futures pricing Interest rate future Margin Normal backwardation Perpetual futures Single-stock futures Slippage Stock market index...
30 KB (3,340 words) - 23:36, 21 August 2024
pricing Forward rate Futures pricing Interest rate future Margin Normal backwardation Perpetual futures Single-stock futures Slippage Stock market index...
15 KB (1,796 words) - 22:34, 3 October 2024
pricing Forward rate Futures pricing Interest rate future Margin Normal backwardation Perpetual futures Single-stock futures Slippage Stock market index...
9 KB (980 words) - 13:57, 28 March 2024
pricing Forward rate Futures pricing Interest rate future Margin Normal backwardation Perpetual futures Single-stock futures Slippage Stock market index...
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express the SABR price in terms of the Bachelier's model. Then the implied normal volatility can be asymptotically computed by means of the following expression:...
18 KB (2,483 words) - 22:26, 10 September 2024
pricing Forward rate Futures pricing Interest rate future Margin Normal backwardation Perpetual futures Single-stock futures Slippage Stock market index...
11 KB (1,560 words) - 18:21, 30 June 2023
theory and practice. Heidelberg: Springer-Verlag. Carol Alexander (2004). "Normal mixture diffusion with uncertain volatility: Modelling short- and long-term...
23 KB (4,345 words) - 10:45, 15 May 2024