The role of incompleteness in commodity futures markets
نویسندگان
چکیده
منابع مشابه
The role of incompleteness in commodity futures markets
This paper proposes a convenience yield-based pricing for commodity futures, which embeds incompleteness of commodity futures markets in convenience yields. By using the pricing method, we conduct empirical analyses of the prices of WTI crude oil, heating oil, and natural gas futures traded on the NYMEX in order to assess the incompleteness of energy futures markets. We show that the fluctuatio...
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ژورنال
عنوان ژورنال: Frontiers in Applied Mathematics and Statistics
سال: 2015
ISSN: 2297-4687
DOI: 10.3389/fams.2015.00011