Theory of storage and the pricing of commodity claims
From MaRDI portal
Publication:704003
DOI10.1023/B:REDR.0000017026.28316.c8zbMath1090.91029OpenAlexW1973778534MaRDI QIDQ704003
Martin J. Nielsen, Eduardo S. Schwartz
Publication date: 12 January 2005
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/b:redr.0000017026.28316.c8
Related Items (9)
A four-factor stochastic volatility model of commodity prices ⋮ A pairs trading strategy based on linear state space models and the Kalman filter ⋮ Valuation of commodity derivatives with an unobservable convenience yield ⋮ Measuring bias in a term-structure model of commodity prices through the comparison of simultaneous and sequential estimation ⋮ A flexible model of term-structure dynamics of commodity prices: a comparative analysis with a two-factor Gaussian model ⋮ Modeling and estimating commodity prices: copper prices ⋮ Strategic commodity allocation ⋮ COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW ⋮ The valuation and information content of options on crude-oil futures contracts
This page was built for publication: Theory of storage and the pricing of commodity claims