Revisiting the pricing of commodity futures and forwards
This article presents a collection of results and formulae for pricing commodity futures, futures options and forward contracts. These results extend previous work by Schwartz (1997). Unlike in Hilliard and Reis (1998), the model in this article predicts that jumps in the spot price affect futures and forward prices. Regime changes in the mean reversion level and in the volatility of spot prices also affect futures and forward prices. The discrete time setting, as the continuous time one, provides tractable pricing formulae, but it seems preferable to the continuous time setting for econometric estimation. In discrete time the market price of risk that affects futures and forwards can be more freely specified.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 23 (2013)
Issue (Month): 3 (February)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFE20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFE20|
When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:23:y:2013:i:3:p:233-240. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.