1 *Department of Management, School of Business and Economics, Odense University, Campusvej 55, DK-5230 Odense M, Denmark · 2 *Department of Finance, John E. Anderson Graduate School of Management at UCLA, 110 Westwood Plaza, Box 951481, UCLA, Los Angeles, CA 90095-1481
Abstract
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