Browsing NHH Brage by Subject "Stochastic Convenience Yield"
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Contingent Claims Evaluation when the Convenience Yield is Stochastic: Analytical Results
(Discussion paper;1/91, Working paper, 1991-02)This paper considers contingent claims on a commodity when both the spot price and the convenience yield are generated by diffusion processes. By adopting the Gibson and Schwartz (1990) assumptions on the economy, we derive ...