IDEAS home Printed from https://ideas.repec.org/h/spr/conchp/978-3-030-76753-2_8.html
   My bibliography  Save this book chapter

Commodity Trade in Continuous Time, Long-Term Availability and Storage Capacity

In: Natural Resource Pricing and Rents

Author

Listed:
  • Andrey Vavilov

    (Institute for Financial Studies)

  • Georgy Trofimov

    (Institute for Financial Studies)

Abstract

The canonical model of competitive storage is formulated in discrete time, and this brings about a high non-linearity and computational complexity of equilibrium equations. In this chapter, we consider a continuous-time commodity market model utilizing the advantages of stochastic calculus that make this model a more convenient analysis tool. It is shown that the argument of the equilibrium price function is the long-term availability of a commodity instead of the current availability, which does not make sense for continuous time. The equilibrium price function satisfies a second-order differential equation and is given by the saddle path under the standard boundary conditions for switching between the regimes of commodity trade. We refine these conditions for the model extension with an upper-boundary constraint on storage capacity and examine the structure of equilibrium price functions in this case.

Suggested Citation

  • Andrey Vavilov & Georgy Trofimov, 2021. "Commodity Trade in Continuous Time, Long-Term Availability and Storage Capacity," Contributions to Economics, in: Natural Resource Pricing and Rents, chapter 0, pages 197-221, Springer.
    • Handle: RePEc:spr:conchp:978-3-030-76753-2_8
    DOI: 10.1007/978-3-030-76753-2_8
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:conchp:978-3-030-76753-2_8. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.