![Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield [extrait BMI 112]](https://eska-publishing.com/10799-large_default/calendar-spreads-in-commodity-futures-markets-risk-premium-and-the-convenience-yield-extrait-bmi-112-.jpg)
(edit with the Customer Reassurance module)
(edit with the Customer Reassurance module)
Version numérique PDF
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.Auteurs :Attaoui Sami , Mellios Constantin
Extrait de la revue BMI 112