ナカジマ カツシ   NAKAJIMA Katsushi   中島 克志    所属   立命館アジア太平洋大学  国際経営学部    職種   准教授
言語種別	英語
発行・発表の年月	2007/03
形態種別	論文（学術誌・プロフェショナル誌）
査読	査読あり
標題	Pricing Commodity Spread Options with Stochastic Term Structure of Convenience Yields and Interest Rates
執筆形態	共著
掲載誌名	Asia-Pacific Financial Markets
巻・号・頁	14,pp.157-184
著者・共著者	前田章
概要	The purpose of this research is to provide a valuation formula for commodity spread options. Commodity spread options are options written on the difference of the prices (spread) of two commodities. From the aspect of commodity contingent claims, it is considered that commodity spread options are difficult to evaluate with accuracy because of the existence of the convenience yield. Hence, the model of the convenience yield is the key factor to price commodity spread options. We use the concept of future convenience yields to develop the model that enriches the stochastic behavior of convenience yield. We also introduce Heath-Jarrow-Morton interest rate model to the valuation framework. This general model not only captures the mean reverting feature of the convenience yield, but also allows us to handle a very wide range of shape that the term structure of convenience yield can take. Therefore our model provides various types of models.
DOI	https://doi.org/10.1007/s10690-007-9057-6
ISSN	1387-2834