Publication Type
Working Paper
Version
publishedVersion
Publication Date
11-2003
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
Discipline
Finance
Research Areas
Econometrics
Volume
19-2003
First Page
1
Last Page
31
Publisher
SMU Economics and Statistics Working Paper Series, No. 19-2003
City or Country
Singapore
Citation
LIEN, Donald and TSE, Yiu Kuen.
A Survey on Physical Delivery Versus Cash Settlement in Futures Contracts. (2003). 19-2003, 1-31.
Available at: https://ink.library.smu.edu.sg/soe_research/774
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Comments
Published in International Review of Economics and Finance, 2006, https://doi.org/10.1016/j.iref.2004.08.001