Mirantes, Andrés; Población, Javier; Serna, Gregorio - In: Review of Derivatives Research 18 (2015) 1, pp. 75-93
<Para ID="Par1">It is well known that market prices of risk play an important role in commodity derivative valuation. There is an extensive literature showing that market prices of risk vary through time. Based on these results, a factor model, with two long- and short-term factors, with market prices of risk...</para>