Abstract：This paper explores the pricing of commodity swaps and options on commodity swaps in the presence of convenience yields.For the stochastic price of commodity,stochastic interest rate and stochastic convenience yields,this paper develops different models,consequently gets different pricing formulas and draws the conclusion that swap prices under stochastic interest rates equal swap prices at deterministic interest rate.
收稿日期: 2002-02-25
引用本文:
周杰,何穗. 商品互换及商品互换期权的定价[J]. , 2002, 41(2): 0-0.
周杰,何穗. Pricing of commodity swaps and option s on commodity swaps. , 2002, 41(2): 0-0.
