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.
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