A Convenience Yield Approximation Model for Mean-Reverting Commodities

Standard option‐based approximations for convenience yields make use of the assumption that commodity spot prices follow a geometric Brownian motion. While there is some empirical support for this assumption, prices of a wide variety of (agricultural) commodities mean revert. Using a mean‐reverting...

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Veröffentlicht in:	The journal of futures markets 2015-07, Vol.35 (7), p.625-654
Hauptverfasser:	Dockner, Engelbert J., Eksi, Zehra, Rammerstorfer, Margarethe
Format:	Artikel
Sprache:	eng
Schlagworte:	Agricultural production Approximation Brownian motion Commodities Commodity prices Data analysis Economic analysis Estimation Futures Price theory Prices Studies Yield
Online-Zugang:	Volltext
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