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- W1915691932 abstract "This paper extends, by developing a three-factor model, the existing literature on commodity derivatives to account for an unobservable stochastic convenience yield. The latter is not observable, but investors can draw inferences about it by observing the spot commodity price and the instantaneous interest rate. Investors operate in an economy with incomplete information. Quasi-analytical formulas for forward and futures prices, and closed-form solutions for options on forward and futures contracts are obtained. Numerical illustration allows comparing the model of this paper (incomplete information) to that of Schwartz's (1997). The two models provide similar futures prices for short maturities, but the Schwartz model prices may be higher than those of the incomplete information model for longer maturities. The incomplete information model, relative to the Schwartz model, has the tendency to overprice options for low volatilities of the three variables and to under price options for high volatilities. Moreover, for out of the money options, values between the two models diverge substantially." @default.
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- W1915691932 date "2005-01-01" @default.
- W1915691932 modified "2023-09-26" @default.
- W1915691932 title "Valuation of Commodity Derivatives with an Unobservable Convenience Yield" @default.
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- W1915691932 doi "https://doi.org/10.2139/ssrn.657941" @default.
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