A one-factor conditionally linear commodity pricing model under partial information

Takashi Kato; Jun Sekine; Hiromitsu Yamamoto

Year of publication:	2014
Authors:	Kato, Takashi ; Sekine, Jun ; Yamamoto, Hiromitsu
Published in:	Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 2, p. 151-174
Subject:	Commodity futures/forward \| Conditionally linear model \| Partial information \| Stochastic convenience yield \| Utility indifference pricing \| Stochastischer Prozess \| Stochastic process \| Unvollkommene Information \| Incomplete information \| Rohstoffderivat \| Commodity derivative \| Schätztheorie \| Estimation theory \| Rohstoffmarkt \| Commodity market \| Rohstoffpreis \| Commodity price

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