THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA

Alessandro Sbuelz

THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA

Alessandro Sbuelz

Risultato della ricerca: Contributo in rivista › Articolo › peer review

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.

Lingua originale	Inglese
pagine (da-a)	1-7
Numero di pagine	7
Rivista	MATHEMATICAL FINANCE LETTERS
Volume	Math. Finance Lett. 2015, 2015:7
Stato di pubblicazione	Pubblicato - 2015

Keywords

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

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title = "THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA",

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.",

keywords = "Backwardation., Commodity futures pricing, Normal backwardation, State-dependent risk premia, Term structure of futures prices, Backwardation., Commodity futures pricing, Normal backwardation, State-dependent risk premia, Term structure of futures prices",

author = "Alessandro Sbuelz",

year = "2015",

language = "English",

volume = "Math. Finance Lett. 2015, 2015:7",

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journal = "MATHEMATICAL FINANCE LETTERS",

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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

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EP - 7

JO - MATHEMATICAL FINANCE LETTERS

JF - MATHEMATICAL FINANCE LETTERS

ER -

THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA

Abstract

Keywords

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