736                                                     21

13           -
. . : Bradford Cornell and Marc Reinganum, Forward and Futures Priced: Evidence
from the Foreign Exchange Market, Journal of Finance, 36, no. 5 (December 1981), pp. 10351045.
     : Michael A. Polakoff and Paul . Grier,
A Comparison of Foreign Exchange Forward and Futures Prices, Journal of Banking and Finance,
15, no. 6 (December 1991), pp. 10571079,    : Carolyn W. Chang and
Jack S. K. Chang, Forward and Futures Prices: Evidence From the Foreig Exchange Markets,
Journal of Finance, 45, no. 4 (September 1990), pp.1333-1336. . : Kenneth R. French,
A Comparison of Futures and Forward Prices, Journal of Financial Economics, 12, no. 3 (November
1983), pp. 311342,   ,      -
 ,      .

14         ,  -
 ,         . -
,   -      .

"       . . 5.

"'           ,
   . .: French, Pricing Financial Futures Contracts, p. 62 (-
 12).

17            -
 ,     .    -
       ,   
 .

18 NYFE   -  .    -
     , ,    Value ( 
  ).

"         -
   , ..       -
  ,         -
  .

20 3%-       ,    
.           2,93%  
.        2,47%    ,
    3%,  $3.

21          . 
,    ,    .  
       .  : Stephen
R. King and Eli M. Remolona, The Pricing and Hedging of Market Index Deposits, Federal Reserve
Bank of New York Quarterly Review, 12, no. 2 (Summer 1987), pp. 920; Thomas J. O'Brien, How
Option Replicating Portfolio Insurance Works: Expanded Details, Monograph Series in Finance and
Economics no. 1988-4, New York University Salomon Center, Eeonard N. Stern School of Business.

22 ,    ,      -
     .        
   Super Dot (  . 3).   
,       ,
.  : David M. Modest, On the Pricing of Stock Index Futures, Journal of Portfolio
Management, 10, no. 4 (Summer 1984), pp. 5157.

23      ,    
.  ,         -
 .         .

24    : (1)     
 , (2)      (3)    -