Commodity Derivatives Valuation with Autoregression and Moving Average in the Price Dynamics
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References listed on IDEAS
- Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-976, July.
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KeywordsCommodity Pricing; CARMA; Futures; Crude Oil;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- Q40 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - General
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