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

1998268 citationsJournal Article

Authors

Jimmy E. Hilliard · University of Georgia

Jorge A. Reis · 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

Topics & Keywords

Capital Investment and Risk Analysis Stochastic processes and financial applications Economic theories and models

UN Sustainable Development Goals

Decent work and economic growth

Publication Details

Published in: Journal of Financial and Quantitative Analysis

Volume 33, Issue 1, pp. 61-61

DOI: 10.2307/2331378

Field-Weighted Citation Impact: 3.70