The Schwartz and Smith (2000) model with state-dependent risk premia

Alessandro Sbuelz

Abstract


In this paper, I prove the closed-form extension of the Schwartz and Smith (2000) model of commodity futures pricing to state-dependent risk premia. The extended model exhibits important additional flexibility in representing different term-structure patterns.


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Published: 2015-08-08

How to Cite this Article:

Alessandro Sbuelz, The Schwartz and Smith (2000) model with state-dependent risk premia, Math. Finance Lett., 2015 (2015), Article ID 7

Copyright © 2015 Alessandro Sbuelz. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Mathematical Finance Letters

ISSN 2051-2929

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