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Mathematical Finance Letters ISSN 2051-2929

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Math. Finance Lett. 2015 (2015), Article ID 7

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

Alessandro Sbuelz

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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.

Published
8 August 2015
Volume
2015 (2015)
License
CC BY 3.0

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.

Cite this article

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

BibTeX
@article{Sbuelz2015,
  author  = {Sbuelz, Alessandro},
  title   = {The Schwartz and Smith (2000) model with state-dependent risk premia},
  journal = {Math. Finance Lett.},
  volume  = {2015},
  year    = {2015},
  pages   = {7},
  doi     = {}
}