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Titolo:
VALUATION OF COMMODITY FUTURES AND OPTIONS UNDER STOCHASTIC CONVENIENCE YIELDS, INTEREST-RATES, AND JUMP DIFFUSIONS IN THE SPOT
Autore:
HILLIARD JE; REIS J;
Indirizzi:
UNIV GEORGIA,DEPT BANKING & FINANCE,452 BROOKS HALL ATHENS GA 30602 UNIV GEORGIA,DEPT ECON ATHENS GA 30602
Titolo Testata:
Journal of financial and quantitative analysis
fascicolo: 1, volume: 33, anno: 1998,
pagine: 61 - 86
SICI:
0022-1090(1998)33:1<61:VOCFAO>2.0.ZU;2-I
Fonte:
ISI
Lingua:
ENG
Soggetto:
TERM STRUCTURE; CONTINGENT CLAIMS; PRICES;
Tipo documento:
Article
Natura:
Periodico
Settore Disciplinare:
Physical, Chemical & Earth Sciences
Citazioni:
32
Recensione:
Indirizzi per estratti:
Citazione:
J.E. Hilliard e J. Reis, "VALUATION OF COMMODITY FUTURES AND OPTIONS UNDER STOCHASTIC CONVENIENCE YIELDS, INTEREST-RATES, AND JUMP DIFFUSIONS IN THE SPOT", Journal of financial and quantitative analysis, 33(1), 1998, pp. 61-86

Abstract

This paper investigates the effects of stochastic convenience yields,stochastic interest rates, and jumps in the spot price on the pricingof commodity futures, forwards, and futures options. Numerical examples show that one-factor prices differ materia:ly from the stochastic convenience yield two-factor prices when convenience yield is considerably above its long-term average. The extension to a three-factor modelwith stochastic interest rates leads to a different futures price butthe forward price is unchanged. The extension of the three-factor model to include jumps in the spot price process does not affect forward or futures prices but it can have an impact on options prices. The model is applied to price the present value of future cash flows from a real asset.

ASDD Area Sistemi Dipartimentali e Documentali, Università di Bologna, Catalogo delle riviste ed altri periodici
Documento generato il 03/12/20 alle ore 21:55:56