Approximation for convenience yield in commodity futures pricing

2002 ◽  
Vol 22 (10) ◽  
pp. 1005-1017 ◽  
Author(s):  
Richard Heaney
Keyword(s):  
Commodity Futures ◽  
Convenience Yield ◽  
Futures Pricing

Convenience Yield-Based Pricing of Commodity Futures

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Takashi Kanamura
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Commodity Futures ◽  
Convenience Yield

Commodity futures price volatility, convenience yield and economic fundamentals

2013 ◽  
Vol 20 (11) ◽  
pp. 1089-1095 ◽  
Author(s):  
Gabriel J. Power ◽  
John R. C. Robinson
Keyword(s):  
Price Volatility ◽  
Commodity Futures ◽  
Convenience Yield ◽  
Economic Fundamentals ◽  
Futures Price

scholarly journals Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

2005 ◽  
Vol 60 (5) ◽  
pp. 2283-2331 ◽  
Author(s):  
JAIME CASASSUS ◽  
PIERRE COLLIN-DUFRESNE
Keyword(s):  
Interest Rates ◽  
Commodity Futures ◽  
Convenience Yield ◽  
Stochastic Convenience Yield

Risk‐neutral skewness and commodity futures pricing

2022 ◽  
Author(s):  
Ana‐Maria Fuertes ◽  
Zhenya Liu ◽  
Weiqing Tang
Keyword(s):  
Commodity Futures ◽  
Risk Neutral ◽  
Futures Pricing

Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

2016 ◽  
Vol 250 (2) ◽  
pp. 493-504 ◽  
Author(s):  
Constantin Mellios ◽  
Pierre Six ◽  
Anh Ngoc Lai
Keyword(s):  
Futures Markets ◽  
Commodity Futures ◽  
Convenience Yield ◽  
Commodity Futures Markets ◽  
Stochastic Convenience Yield

'Maximal' Convenience Yield Model Implied by Commodity Futures

2002 ◽  
Author(s):  
Jaime Casassus ◽  
Pierre Collin-Dufresne
Keyword(s):  
Commodity Futures ◽  
Convenience Yield ◽  
Yield Model
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