| dc.contributor.author | Bjerksund, Petter | |
| dc.date.accessioned | 2020-07-02T10:11:00Z | |
| dc.date.available | 2020-07-02T10:11:00Z | |
| dc.date.issued | 1991-02 | |
| dc.identifier.issn | 1500-4066 | |
| dc.identifier.uri | https://hdl.handle.net/11250/2660464 | |
| dc.description.abstract | 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 analytical solutions to both the futures price and the European call option. | en_US |
| dc.language.iso | eng | en_US |
| dc.publisher | FOR | en_US |
| dc.relation.ispartofseries | Discussion paper;1/91 | |
| dc.subject | Contingent Claims Evaluation | en_US |
| dc.subject | Stochastic Convenience Yield | en_US |
| dc.title | Contingent Claims Evaluation when the Convenience Yield is Stochastic: Analytical Results | en_US |
| dc.type | Working paper | en_US |
| dc.source.pagenumber | 16 | en_US |
