NAKAJIMA Katsushi    Department   Ritsumeikan Asia Pacific University  College of International Management    Position   Associate Professor
Research Period	2014/04～2016/03
Research Topic	A theoretical and empirical analysis on convenience yield and storage for commodity price
Research Type	Individual Research
Research Division	KAKENHI Research
Consignor	Japan Society for the Promotion of Science
Research Program Type	Grant-in-Aid for Young Scientists (B)
KAKENHI Grant No.	26780190
Responsibility	Representative Researcher
Representative Person	NAKAJIMA Katsushi
Details	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.