ChapterⅢstudies the convenience yield in the commodities markets.
本文第三章研究了商品市场的便利收益。
参考来源 - 商品期货市场价格发现与投机泡沫研究·2,447,543篇论文数据,部分数据来源于NoteExpress
煤炭资源;采矿权;便利收益;双因素模型。
Coal resources; Mining rights; Convenience yield; Two-factor model.
在考虑商品的便利收益情况下,探讨了商品互换及其期权的定价。对价格是随机的情形建立了单因素模型;
This paper explores the pricing of commodity swaps and options on commodity swaps in the presence of convenience yields.
第二个模型称为双因子模型,它是在单因子模型的基础上加入了新的因子变量—便利收益率,并且假定便利收益率服从带有均值反转特性的O—U过程。
The first model is a simple one-factor model in which the logarithm of the spot price of the commodity is assumed to follow o-u process which has a mean reverting character.
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