Relative Pricing of Eurodollar Futures and Forward Contracts
推导了欧洲美元期货与远期收益率价差的解析解，发现理论上价差应很小，而流动性、税收和违约风险无法解释实际中观察到的大价差，证据表明价差主要源于期货合约的定价错误，且这种错误随时间逐渐消除。
ABSTRACT Past research explains observed spreads between futures and forward Eurodollar yields as being due to the futures contract's mark‐to‐market feature. We derive closed form solutions for this yield spread and show that, theoretically, it should be small. Also, differences in liquidity, taxation, and default risk cannot account for the large spreads observed. We also present evidence that the spreads, which are nonnegligible primarily in the first half of the sample period, are likely to be attributable to the mispricing of futures contracts relative to the forward rates and that the mispricing was gradually eliminated over time.