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Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield

Nakajima, Katsushi - In: Annals of finance 18 (2022) 1, pp. 35-80

Persistent link: https://www.econbiz.de/10013194631

Commodity spot and futures prices under supply, demand, and financial trading : single input-output model

Nakajima, Katsushi - In: Asia Pacific financial markets 27 (2020) 1, pp. 35-59

Persistent link: https://www.econbiz.de/10012222371

Commodity spread option with cointegration

Nakajima, Katsushi; Ōhashi, Kazuhiko - In: Asia-Pacific financial markets 23 (2016) 1, pp. 1-44

Persistent link: https://www.econbiz.de/10011619864

Emission Allowance as a Derivative on Commodity-Spread

Nakajima, Katsushi; Ohashi, Kazuhiko - In: Asia-Pacific Financial Markets 20 (2013) 2, pp. 183-217

We provide a valuation formula for emission allowance. Assuming that the value of emission allowance on the last day of a trading phase is equal to a spread of commodity prices (e.g. electricity and natural gas) when the spread is positive and less than the penalty, we show that the emission...

Persistent link: https://www.econbiz.de/10010866377