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The Traditional Hedging Model Revisited with a Nonobservable Convenience Yield

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  • Constantin Mellios
  • Pierre Six

Abstract

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Suggested Citation

  • Constantin Mellios & Pierre Six, 2011. "The Traditional Hedging Model Revisited with a Nonobservable Convenience Yield," The Financial Review, Eastern Finance Association, vol. 46(4), pages 569-593, November.
  • Handle: RePEc:bla:finrev:v:46:y:2011:i:4:p:569-593
    DOI: j.1540-6288.2011.00312.x
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    File URL: http://hdl.handle.net/10.1111/j.1540-6288.2011.00312.x
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    Citations

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    Cited by:

    1. Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014. "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 151-174, May.
    2. Fouquau, Julien & Six, Pierre, 2015. "A comparison of the convenience yield and interest-adjusted basis," Finance Research Letters, Elsevier, vol. 14(C), pages 142-149.
    3. Chau, Frankie & Kuo, Jing-Ming & Shi, Yukun, 2015. "Arbitrage opportunities and feedback trading in emissions and energy markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 36(C), pages 130-147.
    4. Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014. "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Papers 1406.4275, arXiv.org.

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