A one-factor conditionally linear commodity pricing model under partial information
Year of publication: |
2014
|
---|---|
Authors: | Kato, Takashi ; Sekine, Jun ; Yamamoto, Hiromitsu |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 2, p. 151-174
|
Subject: | Commodity futures/forward | Conditionally linear model | Partial information | Stochastic convenience yield | Utility indifference pricing | Stochastischer Prozess | Stochastic process | Rohstoffderivat | Commodity derivative | Schätztheorie | Estimation theory | Rohstoffpreis | Commodity price | Unvollkommene Information | Incomplete information | Rohstoffmarkt | Commodity market |
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