The Role of Incompleteness in Commodity Futures Markets
This paper proposes a convenience yield-based pricing for commodity futures, which embeds incompleteness of commodity futures markets in convenience yields. By using the pricing method, we conduct empirical analyses of the prices of WTI crude oil, heating oil, and natural gas futures traded on the N...
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| Format: | Article |
| Language: | English |
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Frontiers Media S.A.
2015-10-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
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| Online Access: | http://journal.frontiersin.org/Journal/10.3389/fams.2015.00011/full |