(32) This obviously makes it harder to find a trend in these convenience yields
Reis, "Valuation of commodity futures and options under stochastic convenience yields
, interest rates, and jump diffusions in the spot," Journal of Financial and Quantitative Analysis, vol.
Duan, "Oil convenience yields
estimated under demand/supply shock," Review of Quantitative Finance and Accounting, vol.
We now examine the extent of the implied forward convenience yields
on consecutive futures contracts.
Gibson, Rajna, and Eduardo Schwartz, 1990, "Stochastic Convenience Yields
and the Pricing of Oil Contingent Claims," Journal of Finance, 45, 959-976.
Therefore, in the existence of futures markets, we can take from the markets the values of convenience yields
. Unlike the petroleum market, the diesel market has not developed a future market, which makes it impossible to accurately calculate the convenience yield
for the fuel.
Schwartz, 1998, "Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields
and Interest Rates", Journal of Financial and Quantitative Analysis, 33:33-59
You might object, "How could convenience yields
or liquidity premia be that large?" First, recall that monetary "overpricing" can be quite large as well.
on the crop is related to the return, and is assumed stochastic in our model, but is a bounded variation process.
Offering photofinishing as a destination category rather than merely one of a number of service departments provided as a customer convenience yields
higher sales and profits, observes Tatreau.
Figure 4 also shows the corresponding optimal shadow spot prices computed using Equation (17) and implied by the combinations of optimal spot prices and convenience yields
obtained from the two-factor model.
With continuous production, inventories are held to maintain the flow of crude from producing fields to refineries.