Journal of Financial and Quantitative Analysis Vol. 33 No. 1 1998

Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot

Jimmy E. Hilliard¹; Jorge Reis²

¹ University of Georgia · ² Freddie Mac (United States)

Abstract

Jimmy E. Hilliard, Jorge Reis, Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot, The Journal of Financial and Quantitative Analysis, Vol. 33, No. 1 (Mar., 1998), pp. 61-86

DOI

10.2307/2331378

Volume

33

Issue

1

Pages

61

Sources

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