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Calendar spreads in commodity future markets, risk premium and the convenience yield

Author

Listed:
  • Sami Attaoui

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

  • Pierre Six

    (Pôle Finance Responsable - Rouen Business School - Rouen Business School)

  • Constantin Mellios

Abstract

This paper studies calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts. These strategies reveal a calendar spread effect through the positive correlation between the two futures contracts. These strategies can easily be computed and analyzed under the Samuelson hypothesis.

Suggested Citation

  • Sami Attaoui & Pierre Six & Constantin Mellios, 2011. "Calendar spreads in commodity future markets, risk premium and the convenience yield," Post-Print hal-00740067, HAL.
    • Handle: RePEc:hal:journl:hal-00740067
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