The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk

DOI10.1023/A:1010034115552zbMath1153.91430MaRDI QIDQ1000457

Hiroaki Yamauchi, Ryozo Miura

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Related Items (2)

Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods ⋮ Pricing commodity spread options with stochastic term structure of convenience yields and interest rates

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