Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates
نویسندگان
چکیده
منابع مشابه
Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
The main objective of this paper is to address, in an a continuous-time framework, the issue of using storable commodity futures as vehicles for hedging purposes when, in particular, the convenience yield as well as the market prices of risk evolve randomly over time. Following the martingale route and by operating a suitable constant relative risk aversion utility function (CRRA) specific chan...
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ژورنال
عنوان ژورنال: The Journal of Finance
سال: 2005
ISSN: 0022-1082
DOI: 10.1111/j.1540-6261.2005.00799.x