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.

Sbuelz, A., THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA, <<MATHEMATICAL FINANCE LETTERS>>, 2015; Math. Finance Lett. 2015, 2015:7 (N/A): 1-7 [http://hdl.handle.net/10807/68192]

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

Sbuelz, Alessandro
2015

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.
Inglese
http://scik.org/index.php/mfl/article/view/2294
Copyright © Alessandro Sbuelz. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited
Sbuelz, A., THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA, <>, 2015; Math. Finance Lett. 2015, 2015:7 (N/A): 1-7 [http://hdl.handle.net/10807/68192]
File in questo prodotto:
File Dimensione Formato  
mfl 2015.pdf

accesso aperto

Licenza: Creative commons
Dimensione 1.68 MB
Formato Adobe PDF
1.68 MB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: http://hdl.handle.net/10807/68192
Citazioni
  • ???jsp.display-item.citation.pmc??? ND
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
social impact