A flexible model of term-structure dynamics of commodity prices: A comparative analysis with a two-factor Gaussian model
This study compares two approaches to modeling a term structure of commodity prices. The first approach specifies the stochastic process of the underlying spot price and derives from the stipulated spot price dynamics valuation formulas of futures and other derivative contracts through no arbitrage....
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| Format: | Journal Article |
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Routledge
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/12889 |