This paper studies commodity spot, forward, and futures prices under a continuous-time setting. Our model considers a representative firm, which uses an input commodity to produce an output commodity, stores the commodity, and trades forward or futures commodities to hedge. Through the...

In this paper, we propose a commodity pricing model that extends Gibson-Schwartz two-factor model to incorporate the effect of linear relations among commodity prices, which include co-integration under certain conditions. We derive futures and call option pricing formulae, and show that unlike...

This paper is a supplement for Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading'' which includes proof of Propositions of the main paper, Nakajima (2015).The paper "Commodity Spot and Futures Prices under Supply, Demand, and Financial Trading" to which this...

Warrant is normally priced on the basis of Black and Scholes' model, which refers to calculations in a risk neutral world. Hence, it neither captures the market expectation nor being a good reference for the risk management process. This study examines a new way of pricing warrants under the...

We derive the valuation formula of a European call option on the spread of two cointegrated commodity prices, based on the GSC (Gibson-Schwartz with cointegration) model. We also analyze the American commodity spread option including the early exercise premium representation and an analytical...