Publication Type

Working Paper

Publication Date

2006

Abstract

A futures contract may adopt physical delivery or cash settlement to liquidate open positions after the maturity day. While traditionally physical delivery specification is favored, exchanges have recently turned to examine cash settlement possibilities. This paper summarizes current literature on settlement specifications with emphases on market manipulation, cash index construction, and hedging effectiveness comparisons

Keywords

Futures contract; Physical delivery; Cash settlement; Market manipulation; Cash index construction; Gel code=G13

Discipline

Finance

Research Areas

Econometrics

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1016/j.iref.2004.08.001

Comments

International Journal of Housing Markets and Analysis

Included in

Finance Commons

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