Matches in SemOpenAlex for { <https://semopenalex.org/work/W1569143065> ?p ?o ?g. }
Showing items 1 to 97 of
97
with 100 items per page.
- W1569143065 abstract "This paper studies a new model of commodity prices in which the stochastic convenience yield is an affine function of past commodity returns. While preserving market completeness, the model exhibits price nonstationarity and mean reversion under the martingale measure, and, as a consequence, it is able to fit a slowly de- caying term structure of futures return volatilities. The model nests mean reversion in levels and geometric Brownian motion, and renders preference-free formulas for the prices of futures contracts and European options." @default.
- W1569143065 created "2016-06-24" @default.
- W1569143065 creator A5076618533 @default.
- W1569143065 date "2007-01-01" @default.
- W1569143065 modified "2023-09-27" @default.
- W1569143065 title "A Preference-Free Formula to Value Commodity Derivatives" @default.
- W1569143065 cites W1521447894 @default.
- W1569143065 cites W1580561995 @default.
- W1569143065 cites W1972180129 @default.
- W1569143065 cites W1976020937 @default.
- W1569143065 cites W1988697445 @default.
- W1569143065 cites W1990739078 @default.
- W1569143065 cites W2015685476 @default.
- W1569143065 cites W2050067494 @default.
- W1569143065 cites W2083105542 @default.
- W1569143065 cites W2089240053 @default.
- W1569143065 cites W2098470572 @default.
- W1569143065 cites W2110641059 @default.
- W1569143065 cites W2126258480 @default.
- W1569143065 cites W2127388073 @default.
- W1569143065 cites W2141186877 @default.
- W1569143065 cites W2499558369 @default.
- W1569143065 cites W3123069420 @default.
- W1569143065 cites W3123846708 @default.
- W1569143065 cites W1987219780 @default.
- W1569143065 hasPublicationYear "2007" @default.
- W1569143065 type Work @default.
- W1569143065 sameAs 1569143065 @default.
- W1569143065 citedByCount "1" @default.
- W1569143065 countsByYear W15691430652012 @default.
- W1569143065 crossrefType "posted-content" @default.
- W1569143065 hasAuthorship W1569143065A5076618533 @default.
- W1569143065 hasConcept C10138342 @default.
- W1569143065 hasConcept C101615488 @default.
- W1569143065 hasConcept C105795698 @default.
- W1569143065 hasConcept C106159729 @default.
- W1569143065 hasConcept C106306483 @default.
- W1569143065 hasConcept C135205223 @default.
- W1569143065 hasConcept C136264566 @default.
- W1569143065 hasConcept C141100683 @default.
- W1569143065 hasConcept C144237770 @default.
- W1569143065 hasConcept C149782125 @default.
- W1569143065 hasConcept C162324750 @default.
- W1569143065 hasConcept C175223733 @default.
- W1569143065 hasConcept C202444582 @default.
- W1569143065 hasConcept C2779439359 @default.
- W1569143065 hasConcept C2780378061 @default.
- W1569143065 hasConcept C33923547 @default.
- W1569143065 hasConcept C48406656 @default.
- W1569143065 hasConcept C68710425 @default.
- W1569143065 hasConcept C92757383 @default.
- W1569143065 hasConceptScore W1569143065C10138342 @default.
- W1569143065 hasConceptScore W1569143065C101615488 @default.
- W1569143065 hasConceptScore W1569143065C105795698 @default.
- W1569143065 hasConceptScore W1569143065C106159729 @default.
- W1569143065 hasConceptScore W1569143065C106306483 @default.
- W1569143065 hasConceptScore W1569143065C135205223 @default.
- W1569143065 hasConceptScore W1569143065C136264566 @default.
- W1569143065 hasConceptScore W1569143065C141100683 @default.
- W1569143065 hasConceptScore W1569143065C144237770 @default.
- W1569143065 hasConceptScore W1569143065C149782125 @default.
- W1569143065 hasConceptScore W1569143065C162324750 @default.
- W1569143065 hasConceptScore W1569143065C175223733 @default.
- W1569143065 hasConceptScore W1569143065C202444582 @default.
- W1569143065 hasConceptScore W1569143065C2779439359 @default.
- W1569143065 hasConceptScore W1569143065C2780378061 @default.
- W1569143065 hasConceptScore W1569143065C33923547 @default.
- W1569143065 hasConceptScore W1569143065C48406656 @default.
- W1569143065 hasConceptScore W1569143065C68710425 @default.
- W1569143065 hasConceptScore W1569143065C92757383 @default.
- W1569143065 hasLocation W15691430651 @default.
- W1569143065 hasOpenAccess W1569143065 @default.
- W1569143065 hasPrimaryLocation W15691430651 @default.
- W1569143065 hasRelatedWork W129081459 @default.
- W1569143065 hasRelatedWork W1775085211 @default.
- W1569143065 hasRelatedWork W1977262664 @default.
- W1569143065 hasRelatedWork W1978334601 @default.
- W1569143065 hasRelatedWork W200080187 @default.
- W1569143065 hasRelatedWork W2015365582 @default.
- W1569143065 hasRelatedWork W2049336857 @default.
- W1569143065 hasRelatedWork W2096024259 @default.
- W1569143065 hasRelatedWork W2298849016 @default.
- W1569143065 hasRelatedWork W2962853807 @default.
- W1569143065 hasRelatedWork W2963233659 @default.
- W1569143065 hasRelatedWork W2977209570 @default.
- W1569143065 hasRelatedWork W3122190797 @default.
- W1569143065 hasRelatedWork W3122695074 @default.
- W1569143065 hasRelatedWork W3122984634 @default.
- W1569143065 hasRelatedWork W3124961813 @default.
- W1569143065 hasRelatedWork W3126090734 @default.
- W1569143065 hasRelatedWork W3186643377 @default.
- W1569143065 hasRelatedWork W2510906105 @default.
- W1569143065 hasRelatedWork W3123917564 @default.
- W1569143065 isParatext "false" @default.
- W1569143065 isRetracted "false" @default.
- W1569143065 magId "1569143065" @default.
- W1569143065 workType "article" @default.