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Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates

Miltersen, Kristian R.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 33 (1998) 01, pp. 33-59

We develop a model to value options on commodity futures in the presence of stochastic interest rates as well as stochastic convenience yields. In the development of the model, we distinguish between forward and future convenience yields, a distinction that has not been recognized in the...

Persistent link: https://www.econbiz.de/10008544241

Abstract: Alternative Investment Strategies for the Issuers of Equity-Linked Life Insurance Policies with an Asset Value Guarantee

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 12 (1977) 04, pp. 651-652

Persistent link: https://www.econbiz.de/10008476684

Abstract: Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 12 (1977) 04, pp. 659-659

Persistent link: https://www.econbiz.de/10008476926

Finite Difference Methods and Jump Processes Arising in the Pricing of Contingent Claims: A Synthesis

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 13 (1978) 03, pp. 461-474

Persistent link: https://www.econbiz.de/10005139055

A Two-Factor Model of the Term Structure: An Approximate Analytical Solution

Schaefer, Stephen M.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 19 (1984) 04, pp. 413-424

Persistent link: https://www.econbiz.de/10005139080

An Equilibrium Model of Bond Pricing and a Test of Market Efficiency

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 17 (1982) 03, pp. 301-329

Persistent link: https://www.econbiz.de/10005139190

Analyzing Convertible Bonds

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 15 (1980) 04, pp. 907-929

Persistent link: https://www.econbiz.de/10005140418

On the Geometric Mean Index: A Note

Brennan, Michael J.; Schwartz, Eduardo S. - In: Journal of Financial and Quantitative Analysis 20 (1985) 01, pp. 119-122

This note explores the properties of some stock markets indices that are claimed to approximate a continuously rebalanced equally weighted portfolio.

Persistent link: https://www.econbiz.de/10005407195