Department Ritsumeikan Asia Pacific University College of International Management Position Associate Professor
|A theoretical and empirical analysis on convenience yield and storage for commodity price
|Japan Society for the Promotion of Science
|Research Program Type
|Grant-in-Aid for Young Scientists (B)
|KAKENHI Grant No.
|The purpose of this study is to derive the relationship between commodity spot price, futures price, marginal inventory cost, and the convenience yield. Furthermore, it was planned to calculate the optimal production plans and hedging strategies of a firm. In this study, we have two outcomes. One is to show how commodity spread options will be evaluated when there is a long-term relationship between number of commodity prices and convenience yields. Another is to model the convenience yield which is one of the key factor for commodity price.