Tolmasky, Carlos; Hindanov, Dmitry - In: Journal of Futures Markets 22 (2002) 11, pp. 1019-1035
This article presents a family of term structure models that can be applied to value contingent claims in multicommodity and seasonal markets. We apply the framework to the futures contracts on crude and heating oils trading on NYMEX. We show how to deal with the problem of having to value...