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Producing Derivative Assets with Forward Contracts

Published online by Cambridge University Press:  06 April 2009

Avi Bick
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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.

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 23 , Issue 2 , June 1988, pp. 153 - 160
Copyright
Copyright © School of Business Administration, University of Washington 1988

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