Showing 1 - 6 of 6
Persistent link: https://www.econbiz.de/10001591442
Persistent link: https://www.econbiz.de/10001592862
This article explains the role of the convenience yield in the relationships linking spot and futures prices in commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying asset and the derivative instrument. Second, it allows...
Persistent link: https://www.econbiz.de/10010707061
Persistent link: https://www.econbiz.de/10010707837
This article emphasises that the information provided by term structures of commodity prices has an influence on the real option value and on the investment decision. We exhibit first of all the analysis framework: the evaluation of an oil field. We suppose that a single source of uncertainty -...
Persistent link: https://www.econbiz.de/10010708204
La présentation de la théorie du stockage et de la notion de convenience yield permet d’exposer les fondements théoriques des modèles de structure par terme des prix des commodités. Ces derniers peuvent être utilisés pour réaliser des opérations de couverture ou dans le cadre de...
Persistent link: https://www.econbiz.de/10011071877