Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
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DOI: 10.1007/s10436-021-00402-7
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More about this item
Keywords
Convenience yield; Differential topology; Forward price; General equilibrium; Incomplete market;All these keywords.
JEL classification:
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- D52 - Microeconomics - - General Equilibrium and Disequilibrium - - - Incomplete Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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