Jin, Yufei; Turvey, Calum G. - Agricultural and Applied Economics Association - AAEA - 2004
The purpose of this paper is to develop a general approach to valuing commodity-linked bonds (CLBs) based on the Heath-Jarrow-Morton (HJM) framework. The model deals with four dimensions of uncertainty: prices of the underlying commodity, the value of firm that issues bonds, interest rates, and...