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Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates

Kristian R. Miltersen; Eduardo S. Schwartz

Journal of Financial and Quantitative Analysis 1998 33(1), 33

Kristian R. Miltersen, Eduardo S. Schwartz, Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates, The Journal of Financial and Quantitative Analysis, Vol. 33, No. 1 (Mar., 1998), pp. 33-59

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Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates