Convenience yields

DOI10.1007/s11147-009-9042-5zbMath1202.91319OpenAlexW3187099899MaRDI QIDQ965894

Robert A. Jarrow

Publication date: 26 April 2010

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-009-9042-5

zbMATH Keywords

forwardsoption pricingfuturescommoditiesbackwardationcontango

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

Cites Work

• A model of the convenience yields in on-the-run treasuries
• Recursive valuation of defaultable securities and the timing of resolution of uncertainty
• Stochastic calculus for finance. II: Continuous-time models.
• Risk-neutral compatibility with option prices
• TERM STRUCTURES OF IMPLIED VOLATILITIES: ABSENCE OF ARBITRAGE AND EXISTENCE RESULTS
• ASSET PRICE BUBBLES IN INCOMPLETE MARKETS
• FORWARD AND FUTURES PRICES WITH BUBBLES
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