publication . Article . 1994

The Valuation of Commodity Contingent Claims

Gonzalo Cortazar; Eduardo S. Schwartz;
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  • Published: 31 May 1994 Journal: The Journal of Derivatives, volume 1, pages 27-39 (issn: 1074-1240, eissn: 2168-8524, Copyright policy)
  • Publisher: Pageant Media US
Abstract
!This article describes a new approach to the valuation of commodity-contingent claims. The approach uses all the information contained in the term structure ofcommodity futures prices in addition to the historical ,volatilities of futures returnsfor diferent maturities. It is based on the principle that no arbitrage opportunities shoullf exist when trading in futures contracts. The jiamework is applied to price copper-contingent claims. We analyze the daily returnsfor all copper futures
Subjects
free text keywords: Economics and Econometrics, Finance
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