Intertemporal Futures Pricing with Different Opinions about Price Changes

10.6545/JFS.2005.13(1).2

Simon H. Yen；Jai-Jen Wang

Intertemporal futures pricing ； different opinions ； stochastic interest rate

財務金融學刊

13卷1期（2005 / 04 / 30）

31 - 59

英文

As Harrison and Kreps (1978) noted, unless traders are all identical and obliged to hold a stock forever, speculation would not extinguish in market, and different opinions on future evolution of asset price yield whereby. This paper derives intertemporal futures pricing formulas accounting for such presumption in a partial-equilibrium sense with stochastic interest rate and changing opinions. The closed-form solutions show that some indeterminate empirics such as converging patterns of Contango and normal backwardation result from complicated relationships among interacted dynamics of interest, spot price, and changing opinions simultaneously.

1. Ahn, D. H.,Boudoukh, J.,Richardson, M.,R. F. Whitelaw(2002).Partial adjustment or stale prices? Implications from stock index and futures return autocorrelations.Review of Financial Studies,15,655-689.
2. Back, K.(1992).Insider trading in continuous time.Review of Financial Studies,5,387-409.
3. Bessembinder, Hendrik,P. J. Seguin(1993).Price volatility, trading volume, and market depth: Evidence from futures markets.Journal of Financial and Quantitative Analysis,28,21-40.
4. Bhatt, S.,N. Cakici(1990).Premiums on stock index futures-some evidence.Journal of Futures Markets,10,367-376.
5. Black. F.(1986).Noise.Journal of Finance,41,529-544.
6. Brennan, M. J.,Jegadeesh, N.,B. Swaminathan(1993).Investment analysis and the adjustment of stock prices to common information.Review of Financial Studies,6,799-824.
7. Cakici, A.,S. Chatterjee(1991).Pricing stock index futures with stochastic interest rates.Journal of Futures Markets,11,441-453.
8. Chen, N.,Cuny, C. J.,R. A. Haugen(1995).Stock volatility and the levels of the basis and open interest in futures contracts.Journal of Finance,50,281-300.
9. Chen. Z.,L. Epstein(2002).Ambiguity, risk, and asset returns in continuous time.Econometrica,70,1403-1443.
10. Constantinides, G. M.(1982).Intertemporal Asset pricing with heterogeneous consumers and without demand aggregation.Journal of Business,55,253-267.
11. Cornell, B.,K. R. French(1983).Taxes and the pricing of stock index futures.Journal of Finance,38,675-693.
12. Cornell. B.(1985).Taxes and the pricing of stock index futures: Empirical results.Journal of Futures Markets,5,89-102.
13. Cornell. B.,K. R. French(1983).The pricing of stock index futures.Journal of Futures Markets,3,1-14.
14. Cox. J. C.,Ingersoll, J. E.,S. A. Ross(1981).The relation between forward prices and futures prices.Journal of Financial Economics,9,321-346.
15. Daigler, R. T.,M. K. Wile(1999).The impact of trader type on the futures volatility-volume relation.Journal of Finance,44,2297-2317.
16. De Bondt, W. F. M.,R. Thaler(1985).Does the stock market overreact?.Journal of Finance,40,793-805.
17. De Long, J. B.,Shleifer, A.,Summers, L. H.,Waldman, R. J.(1990).Noise trader risk in financial markets.Journal of Political Economy,98,703-738.
18. Duffie, D.(1996).Dynamic Asset Pricing Theory,.New Jersey:Princeton University Press.
19. Ederington, L. H.,J. H. Lee(1995).The short-run dynamics of the price adjustment to new information.Journal of Financial and Quantitative Analysis,30,117-134.
20. Figlewski, S.(1978).Market efficiency in a market with heterogeneous information.Journal of Political Economy,86,581-597.
21. Foster, F. D.,S. Viswanathan(1994).Strategic trading with asymmetrically informed traders and long-lived information.Journal of Financial and Quantitative Analysis,29,499-518.
22. Foster. F. D.,S. Viswanathan(1993).The effect of public information and competition on trading volume and price volatility.Review of Financial Studies,6,23-56.
23. Foster. F. D.,S. Viswanathan(1996).Strategic trading when agents forecast the forecasts of others.Review of Financial Studies,9,1437-1478.
24. Frankel, J. A.,K. A. Froot(1990).Chartists, fundamentalists, and trading in the foreign exchange market.American Economic Review,80,181-185.
25. Frechette. D. L.,R. D. Weaver(2001).Different opinions of traders in speculative markets.Journal of Futures Markets,21,429-446.
26. Fremault. A.(1991).Stock index futures and index arbitrage in a rational expectations model.Journal of Business,64,523-547.
27. Friedman, M.(1953).Essays in Positive Economics.Chicago:University of Chicago Press.
28. Gibson. R.,E. Schwartz(1990).Stochastic convenience yield and the pricing of oil contingent claims.Journal of Finance,45,959-976.
29. Harris, M.,A. Raviv(1993).Differences of opinion make a horse race.Review of Financial Studies,6,473-506.
30. Harrison. J. M.,D. M. Kreps(1978).Speculative investor behavior in a stock market with heterogeneous expectations.Quarterly Journal of Economics,92,323-336.
31. Hemler, M. L.,F. A. Longstaff(1991).General equilibrium stock index futures prices: Theory and empirical evidence.Journal of Financial and Quantitative Analysis,26,287-308.
32. Heston, S.(1993).A closed form solution for options with stochastic volatility with applications to bond and currency options.Review of Financial Studies,6,327-343.
33. Hilliard. J. E.,J. Reis(1998).Valuation of commodity futures and options under stochastic convenience yields, interest rates, and jump diffusions in the spot.Journal of Financial and Quantitative Analysis,33,61-86.
34. Holden. C. W.,A. Subrahmanyam(1992).Long-lived private information and imperfect competition.Journal of Finance,47,247-270.
35. Hull, J.(1997).Options, Futures, and other Derivatives.Prentice-Hall, Upper Saddle River.
36. Hull. J.,A. White(1987).The pricing of options on assets with stochastic volatilities.Journal of Finance,42,281-300.
37. Jarrow, R. A.,G S. Oldfield(1981).Forward contracts and futures contracts.Journal of Financial Economics,9,373-382.
38. Johnson, H.,D. Shanno(1987).Option pricing when the variance is changing.Journal of Financial and Quantitative Analysis,22,143-151.
39. Klemkosky R. C.,J. H. Lee(1991).The intraday ex post and ex ante profitability of index arbitrage.Journal of Futures Markets,11,291-312.
40. Kogan, L.,Ross, R.,Wang, J.,M. Westerfield(2004).NBER working papers.
41. Kyle. A. S.(1985).Continuous auctions and insider trading.Econometrica,53,1315-1335.
42. Linn, S. C.,B. E. Stanhouse(2003).The economic advantage of learners in a spot/futures market.Journal of Futures Markets,23,151-167.
43. Lo. A. W.,A. C. MacKinlay(1990).When are contrarian profits due to stock market overreaction?.Review of Financial Studies,3,175-205.
44. MacKinlay, C.,K. Ramaswamy(1988).Index-futures arbitrage and the behavior of stock index futures prices.Review of Financial Studies,1,137-158.
45. Merton, R. C.(1987).A simple model of capital market equilibrium with incomplete information.Journal of Finance,42,483-510.
46. Modest, D. M.,M. Sundaresan(1983).The relationship between spot and futures prices in stock index futures markets: Some preliminary evidence.Journal of Futures Markets,3,15-42.
47. Ramaswamy, K.,S. M. Sundaresan(1985).The valuation of options on futures contracts.Journal of Finance,40,1319-1341.
48. Richard, S. F.,M. Sundaresan(1981).A continuous time equilibrium model of forward prices and futures prices in a multigood economy.Journal of Financial Economics,9,347-371.
49. Schwartz. E. S.(1997).The stochastic behavior of commodity prices: implications for valuation and hedging.Journal of Finance,52,923-973.
50. Scott, L. O.(1987).Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application.Journal of Financial and Quantitative Analysis,22,419-438.
51. Vasick. O.(1977).An equilibrium characterization of the term structure.Journal of Financial Economics,5,177-188.
52. Wiggins. J. P.(1987).Option value under stochastic volatility: theory and empirical estimates.Journal of Financial Economics,19,351-372.
53. Yadav, P. K.,P. F. Pope(1994).Stock index futures mispricing: Profit opportunities or risk premia.Journal of Banking and Finance,18,921-954.

1. 葉仕國、張森林、林丙輝(2016)。台灣衍生性金融商品定價、避險與套利文獻回顧與展望。臺大管理論叢，27(1)，255-304。