What explains the difference between the futures' price and its "fair" value? evidence from the european options exchange

Keyphrases

• Fair Value 100%
• Futures Prices 100%
• European Options 100%
• Volatility 50%
• Futures Markets 50%
• Amsterdam 50%
• S&P 500 50%
• Systematic Deviations 50%
• Stock Index Futures 50%
• Open Interest 50%
• Carrying Costs 50%
• Return Volatility 50%

Economics, Econometrics and Finance

• Option Trading 100%
• Volatility 50%
• Stock Index 50%
• Returns Volatility 50%
• Index Futures 50%
• Futures Market 50%