The Valuation of Commodity Contingent Claims
1994; Volume: 1; Issue: 4 Linguagem: Inglês
10.3905/jod.1994.407896
ISSN2168-8524
AutoresGonzalo Cortázar, Eduardo S. Schwartz,
Tópico(s)Market Dynamics and Volatility
Resumo!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
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