Calendar spreads in commodity future markets, risk premium and the convenience yield

Abstract : This paper studies calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts. These strategies reveal a calendar spread effect through the positive correlation between the two futures contracts. These strategies can easily be computed and analyzed under the Samuelson hypothesis.
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Article dans une revue
Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2011, p.16
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https://hal-rbs.archives-ouvertes.fr/hal-00740067
Contributeur : Sandrine Palmer <>
Soumis le : mardi 9 octobre 2012 - 12:51:40
Dernière modification le : lundi 18 mai 2015 - 12:55:08

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  • HAL Id : hal-00740067, version 1

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Sami Attaoui, Pierre Six, Constantin Mellios. Calendar spreads in commodity future markets, risk premium and the convenience yield. Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2011, p.16. 〈hal-00740067〉

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