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'It has been shown that futures prices are not necessarily unbiased estimates of expected spot prices even in an efficient market (see Richard and Sundaresan 1981). Hun Y. Park is an Assistant Professor of Finance at the f University o Illinois at Urbana-Champaign. R . Stephen Sears is an Assistant Professor of Finance at the University o Illinois at Urbana-Champaign. f The Journal of Futures Markets, Vol. 5, No. 2, 223-237 (1985) 0 1985 by John Wiley & Sons, Inc. CCC 0270-7314/85/020223-15504.00 Futures Exchange) in April and May of 1982, respectively. These new futures contracts have maturity months of March, June, September, and December; settlement is in cash only. In 1983, the CFTC approved the trading of options on stock index futures contracts. Options on the S & P 500 futures are traded on the Chicago Mercantile Exchange while the NYSE options are traded on the New York Futures Exchange. These options share the same maturity months as the corresponding futures contracts. A call option on a futures contract conveys the right to go long in that futures contract at a specific price (called exercise or striking price) during a specified time period. This article differs from previous
The Journal of Futures Markets – Wiley
Published: Jun 1, 1985
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