Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
Year of publication: |
2022
|
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Authors: | Nakajima, Katsushi |
Published in: |
Annals of finance. - Heidelberg : Springer, ISSN 1614-2454, ZDB-ID 2172262-6. - Vol. 18.2022, 1, p. 35-80
|
Subject: | Convenience yield | Differential topology | Forward price | General equilibrium | Incomplete market | Unvollkommener Markt | Rohstoffderivat | Commodity derivative | Allgemeines Gleichgewicht | Derivat | Derivative | Optionspreistheorie | Option pricing theory | Gleichgewichtstheorie | Equilibrium theory |
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