Commodity Futures Prices as Forecasts
نویسندگان
چکیده
منابع مشابه
A Two-Factor Model for Commodity Prices and Futures Valuation∗
This paper develops a reduced form two-factor model for commodity spot prices and futures valuation. This model extends the Gibson and Schwartz (1990)-Schwartz (1997) two-factor model by adding two new features. First the Ornstein-Uhlenbeck process for the convenience yield is replaced by a Cox-Ingersoll-Ross (CIR) process. This ensures that our model is arbitrage-free. Second, spot price volat...
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ژورنال
عنوان ژورنال: Review of Agricultural Economics
سال: 1997
ISSN: 1058-7195
DOI: 10.2307/1349677