Abstract

In this paper, I prove the closed-form extension of the Schwartz and Smith (2000) model of commodity futures pricing to state-dependent risk premia. The extended model exhibits important additional flexibility in representing different term-structure patterns.
Original languageEnglish
Pages (from-to)1-7
Number of pages7
JournalMATHEMATICAL FINANCE LETTERS
VolumeMath. Finance Lett. 2015, 2015:7
Publication statusPublished - 2015

Keywords

  • Backwardation.
  • Commodity futures pricing
  • Normal backwardation
  • State-dependent risk premia
  • Term structure of futures prices

Fingerprint

Dive into the research topics of 'THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA'. Together they form a unique fingerprint.

Cite this