Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield [extrait BMI 112]
search
  • Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield [extrait BMI 112]

Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield [extrait BMI 112]

€47.39
  Security policy

(edit with the Customer Reassurance module)

  Delivery policy

(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

BMI112-1103131
New