TY - JOUR
T1 - THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA
AU - Sbuelz, Alessandro
PY - 2015
Y1 - 2015
N2 - 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.
AB - 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.
KW - Backwardation.
KW - Commodity futures pricing
KW - Normal backwardation
KW - State-dependent risk premia
KW - Term structure of futures prices
KW - Backwardation.
KW - Commodity futures pricing
KW - Normal backwardation
KW - State-dependent risk premia
KW - Term structure of futures prices
UR - http://hdl.handle.net/10807/68192
UR - http://scik.org/index.php/mfl/article/view/2294
M3 - Article
SN - 2051-2929
VL - Math. Finance Lett. 2015, 2015:7
SP - 1
EP - 7
JO - MATHEMATICAL FINANCE LETTERS
JF - MATHEMATICAL FINANCE LETTERS
ER -