Approximation for convenience yield in commodity futures pricing
The pricing of commodity futures contracts is important both for professionals and academics. It is often argued that futures prices include a convenience yield, and this article uses a simple trading strategy to approximate the impact of convenience yields. The approximation requires only three variables-underlying asset price volatility, futures contract price volatility, and the futures contract time to maturity. The approximation is tested using spot and futures prices from the London...[Show more]
|Collections||ANU Research Publications|
|Source:||Journal of Futures Markets|
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