Approximation for convenience yield in commodity futures pricing

Richard Heaney

doi:10.1002/fut.10036

Approximation for convenience yield in commodity futures pricing

Journal of Futures Markets ◽

10.1002/fut.10036 ◽

2002 ◽

Vol 22 (10) ◽

pp. 1005-1017 ◽

Cited By ~ 35

Author(s):

Richard Heaney

Keyword(s):

Commodity Futures ◽

Convenience Yield ◽

Futures Pricing

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Convenience Yield-Based Pricing of Commodity Futures

SSRN Electronic Journal ◽

10.2139/ssrn.1340412 ◽

2010 ◽

Author(s):

Takashi Kanamura

Keyword(s):

Commodity Futures ◽

Convenience Yield

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Commodity futures price volatility, convenience yield and economic fundamentals

Applied Economics Letters ◽

10.1080/13504851.2013.788775 ◽

2013 ◽

Vol 20 (11) ◽

pp. 1089-1095 ◽

Cited By ~ 2

Author(s):

Gabriel J. Power ◽

John R. C. Robinson

Keyword(s):

Price Volatility ◽

Commodity Futures ◽

Convenience Yield ◽

Economic Fundamentals ◽

Futures Price

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Asymmetric Volatility of Net Convenience Yield: Empirical Evidence from Indian Commodity Futures Markets

SSRN Electronic Journal ◽

10.2139/ssrn.3211125 ◽

2018 ◽

Cited By ~ 1

Author(s):

Brajesh Kumar

Keyword(s):

Empirical Evidence ◽

Futures Markets ◽

Commodity Futures ◽

Convenience Yield ◽

Asymmetric Volatility ◽

Commodity Futures Markets

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Stochastic Convenience Yield Implied from Commodity Futures and Interest Rates

The Journal of Finance ◽

10.1111/j.1540-6261.2005.00799.x ◽

2005 ◽

Vol 60 (5) ◽

pp. 2283-2331 ◽

Cited By ~ 267

Author(s):

JAIME CASASSUS ◽

PIERRE COLLIN-DUFRESNE

Keyword(s):

Interest Rates ◽

Commodity Futures ◽

Convenience Yield ◽

Stochastic Convenience Yield

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Explorations on the commodity futures pricing with unknown parameters: An expectation oriented approach

2010 2nd IEEE International Conference on Information and Financial Engineering ◽

10.1109/icife.2010.5609429 ◽

2010 ◽

Author(s):

Shulin Zhang ◽

Juanjuan Ding ◽

Shuping Wang

Keyword(s):

Commodity Futures ◽

Unknown Parameters ◽

Futures Pricing ◽

Oriented Approach

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Risk‐neutral skewness and commodity futures pricing

Journal of Futures Markets ◽

10.1002/fut.22308 ◽

2022 ◽

Author(s):

Ana‐Maria Fuertes ◽

Zhenya Liu ◽

Weiqing Tang

Keyword(s):

Commodity Futures ◽

Risk Neutral ◽

Futures Pricing

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ASYMMETRIC VOLATILITY OF NET CONVENIENCE YIELD: EVIDENCE FROM INDIAN COMMODITY FUTURES MARKETS

Proceedings of the 5th Economic & Finance Conference, Miami ◽

10.20472/efc.2016.005.012 ◽

2016 ◽

Author(s):

Brajesh Kumar

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Convenience Yield ◽

Asymmetric Volatility ◽

Commodity Futures Markets

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Optimal Dynamic Hedging in Commodity Futures Markets with a Stochastic Convenience Yield

SSRN Electronic Journal ◽

10.2139/ssrn.1095482 ◽

2010 ◽

Author(s):

Constantin Mellios ◽

Pierre Six

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Convenience Yield ◽

Dynamic Hedging ◽

Commodity Futures Markets ◽

Optimal Dynamic ◽

Stochastic Convenience Yield

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Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield

European Journal of Operational Research ◽

10.1016/j.ejor.2015.10.045 ◽

2016 ◽

Vol 250 (2) ◽

pp. 493-504 ◽

Cited By ~ 8

Author(s):

Constantin Mellios ◽

Pierre Six ◽

Anh Ngoc Lai

Keyword(s):

Futures Markets ◽

Commodity Futures ◽

Convenience Yield ◽

Commodity Futures Markets ◽

Stochastic Convenience Yield

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'Maximal' Convenience Yield Model Implied by Commodity Futures

SSRN Electronic Journal ◽

10.2139/ssrn.301555 ◽

2002 ◽

Author(s):

Jaime Casassus ◽

Pierre Collin-Dufresne

Keyword(s):

Commodity Futures ◽

Convenience Yield ◽

Yield Model

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