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]
Autori: | |
Titolo: | THE SCHWARTZ AND SMITH (2000) MODEL WITH STATE-DEPENDENT RISK PREMIA |
URL: | http://scik.org/index.php/mfl/article/view/2294 |
Data di pubblicazione: | 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. |
Lingua: | Inglese |
Rivista: | |
Citazione: | 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] |
Altre informazioni significative: | 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 |
Appare nelle tipologie: | Articolo in rivista, Nota a sentenza |
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