Dynamic speculation and hedging in commodity futures markets with a stochastic convenience yield
DOI10.1016/J.EJOR.2015.10.045zbMATH Open1346.91237OpenAlexW1963105924MaRDI QIDQ322504FDOQ322504
Authors: Constantin Mellios, Pierre Six, Anh Ngoc Lai 
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.10.045
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commodity spot pricesconvenience yielddynamic portfolio optimizationfutures pricesstochastic market prices of risk
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic programming (90C15) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)
Cites Work
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- Title not available (Why is that?)
- Optimal hedging and equilibrium in a dynamic futures market
- Futures markets and commodity options: Hedging and optimality in incomplete markets
Cited In (8)
- Hedging with automatic liquidation and leverage selection on bitcoin futures
- Closed-form analytical solutions for options on agricultural futures with seasonality and stochastic convenience yield
- A NEW CLASS OF COMMODITY HEDGING STRATEGIES: A PASSPORT OPTIONS APPROACH
- Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework
- Hedging mean-reverting commodities
- Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods
- Model uncertainty on commodity portfolios, the role of convenience yield
- Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach
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