On the Pricing of Storable Commodities

DOI10.1142/9789811246494_0017zbMath1489.91279arXiv1307.5540OpenAlexW4214715503MaRDI QIDQ5072630

Dorje C. Brody, Xun Yang, Lane P. Hughston

Publication date: 29 April 2022

Published in: Financial Informatics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1307.5540

zbMATH Keywords

market microstructurenatural gasconvenience yieldcommodity marketsinformation-based asset pricingcommodity derivativescrude oil

Mathematics Subject Classification ID

Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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