'Maximal' Convenience Yield Model Implied by Commodity Futures

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

Convenience Yield-Based Pricing of Commodity Futures

2010 ◽  
Author(s):  
Takashi Kanamura
Keyword(s):  
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

On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities

2017 ◽  
Vol 20 (01) ◽  
pp. 1750005
Author(s):  
Jilong Chen ◽  
Christian Ewald
Keyword(s):  
Upper Bounds ◽  
Stochastic Volatility Model ◽  
Asian Options ◽  
Convenience Yield ◽  
Yield Model ◽  
Cev Model ◽  
Constant Elasticity ◽  
Constant Elasticity Of Variance ◽  
Hedging Strategies ◽  
Volatility Model

In this paper, we investigate the applicability of the comonotonicity approach in the context of various benchmark models for equities and commodities. Instead of classical Lévy models as in Albrecher et al. we focus on the Heston stochastic volatility model, the constant elasticity of variance (CEV) model and Schwartz’ 1997 stochastic convenience yield model. We show how the technical difficulties of inverting the distribution function of the sum of the comonotonic random vector can be overcome and that the method delivers rather tight upper bounds for the prices of Asian Options in these models, at least for strikes which are not too large. As a by-product the method delivers super-hedging strategies which can be easily implemented.

scholarly journals A stochastic control approach to managed futures portfolios

2019 ◽  
Vol 06 (01) ◽  
pp. 1950005 ◽  
Author(s):  
Tim Leung ◽  
Raphael Yan
Keyword(s):  
Stochastic Control ◽  
Utility Maximization ◽  
Commodity Prices ◽  
Trading Strategies ◽  
Maximization Problem ◽  
Convenience Yield ◽  
Yield Model ◽  
Managed Futures ◽  
Control Approach ◽  
Utility Maximization Problem

We study a stochastic control approach to managed futures portfolios. Building on the (Schwartz, 1997) stochastic convenience yield model for commodity prices, we formulate a utility maximization problem for dynamically trading a single-maturity futures or multiple futures contracts over a finite horizon. By analyzing the associated Hamilton–Jacobi–Bellman (HJB) equation, we solve the investor’s utility maximization problem explicitly and derive the optimal dynamic trading strategies in closed form. We provide numerical examples and illustrate the optimal trading strategies using WTI crude oil futures data.

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

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

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
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