search query: @author Schwartz, E. / total: 11
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| Author: | Miltersen, K. Schwartz, E. |
| Title: | Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates |
| Journal: | Journal of Financial and Quantitative Analysis
1998 : MAR, VOL. 33:1, p. 33-60 |
| Index terms: | PRICING OPTIONS COMMODITY FUTURES |
| Language: | eng |
| Abstract: | The authors develop a model to value options on commodity futures in the presence of stochastic interest rates as well as stochastic convenience yields. In the development of the model, the authors distinguish between forward and future convenience yields, a distinction that has not been recognized in the literature. Assuming normality of continuously compounded forward interest rates and convenience yields and log-normality of the spot price of the underlying commodity, the authors obtain closed-form solutions generalizing the Black-Scholes/Merton's formulas. |
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