Convenience yield in commodity price modeling : a regime switching approach
Year of publication: |
January 2016
|
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Authors: | Almansour, Abdullah |
Published in: |
Energy economics. - Amsterdam : Elsevier, ISSN 0140-9883, ZDB-ID 795279-X. - Vol. 53.2016, p. 238-247
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Subject: | Futures term structure | Regime switching | Convenience yield | Contango | Backwardation | Rohstoffderivat | Commodity derivative | Zinsstruktur | Yield curve | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Kapitaleinkommen | Capital income | Markov-Kette | Markov chain |
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