지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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초록· 키워드
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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.
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참고문헌 (26)
참고문헌 신청
A. B. Trolle / 2008 / Unspanned stochastic volatility and the pricing of commodity derivatives / EFA 2008 Athens Meetings
B. Dupire / 1997 / Mathematics of Derivative Securities / Cambridge Univ. Press : 103 ~ 111
D. Heath / 1992 / Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation / Econometrica 60 (1) : 77 ~ 105
D. R. Ribeiro / 2004 / A two-factor model for commodity prices and futures valuation / EFMA 2004 Basel Meetings
E. S. Schwartz / 1997 / The stochastic behavior of commodity prices: implications for valuation and hedging / J. Finance 52 (3) : 923 ~ 973
B. Dupire / 1997 / Mathematics of Derivative Securities / Cambridge Univ. Press : 103 ~ 111
D. Heath / 1992 / Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation / Econometrica 60 (1) : 77 ~ 105
D. R. Ribeiro / 2004 / A two-factor model for commodity prices and futures valuation / EFMA 2004 Basel Meetings
E. S. Schwartz / 1997 / The stochastic behavior of commodity prices: implications for valuation and hedging / J. Finance 52 (3) : 923 ~ 973
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