A Comparison of Forward and Futures Prices of an Interest Rate‐Sensitive Financial Asset

This paper focuses on contractual distinctions as an explanation for the price divergence between futures and forward contracts. Specifically, it investigates the effect of marking‐to‐market on the observed price differences using the pricing model described in Cox, Ingersoll, and Ross (CIR) (1981, Journal of Financial Economics 9 , 321–346). Using previously unavailable data, this paper employs Eurodollars, an interest rate‐sensitive financial...