COMMODITY FUTURES TERM STRUCTURE MODEL

被引：0

作者：

Choi, Hyeong In ^{[1
]}

Kwon, Song-Hwa ^{[2
]}

Kim, Jun Yeol ^{[3
]}

Jung, Du-Seop ^{[4
]}

机构：

[1] Seoul Natl Univ, Dept Math & Res Inst Math, Seoul 151747, South Korea

[2] Catholic Univ, Dept Math, Gyeonggi 420743, South Korea

[3] Kyobo Securities Co Ltd, Otc Prod Dealing Team, Seoul 150010, South Korea

[4] Seoul Natl Univ, Dept Math, Seoul 151747, South Korea

来源：

BULLETIN OF THE KOREAN MATHEMATICAL SOCIETY | 2014年 / 51卷 / 06期

关键词：

commodity futures; term structure; convenience yield; volatility; European option; HJM; STOCHASTIC CONVENIENCE YIELD; INTEREST-RATES; CONTINGENT CLAIMS; PRICES; VALUATION; DYNAMICS; MARKETS; OPTIONS; SPOT;

D O I：

10.4134/BKMS.2014.51.6.1791

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

A new approach to the commodity futures term structure model is introduced. The most salient feature of this model is that, once the interest rate model is given, the commodity futures price volatility is the only quantity that completely determines the model. As a consequence this model enables one to do away with the drudgeries of having to deal with the convenience yield altogether, which has been the most thorny point so far.

引用

页码：1791 / 1804

页数：14

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