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
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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
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