Producing Derivative Assets with Forward Contracts
- 1 June 1988
- journal article
- Published by JSTOR in Journal of Financial and Quantitative Analysis
- Vol. 23 (2) , 153
- https://doi.org/10.2307/2330878
Abstract
This paper shows how a derivative security can be duplicated by a forward strategy, and, hence, priced by arbitrage in terms of the forward price.Keywords
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