caa a22 4500 388047607 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199803 xx s 000 0 eng 10.2307/2331378 doi S0022109000023875 pii (NATIONALLICENCE)cambridge-10.2307/2331378 Valuation of Commodity Futures and Options under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot [Elektronische Daten] This paper investigates the effects of stochastic convenience yields, stochastic interest rates, and jumps in the spot price on the pricing of commodity futures, forwards, and futures options. Numerical examples show that one-factor prices differ materially from the stochastic convenience yield two-factor prices when convenience yield is considerably above its long-term average. The extension to a three-factor model with stochastic interest rates leads to a different futures price but the forward price is unchanged. The extension of the three-factor model to include jumps in the spot price process does not affect forward or futures prices but it can have an impact on options prices. The model is applied to price the present value of future cash flows from a real asset. Copyright © School of Business Administration, University of Washington 1998 Hilliard Jimmy E. Department of Banking and Finance, University of Georgia, 452 Brooks Hall, Athens, GA 30602 Reis Jorge Financial Research Department, Federal Home Loan Mortgage Corporation, Department of Economics at the University of Georgia Journal of Financial and Quantitative Analysis Cambridge University Press 33/1(1998-03), 61-86 0022-1090 33:1<61 1998 33 JFQ https://doi.org/10.2307/2331378 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331378 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Hilliard Jimmy E. Department of Banking and Finance, University of Georgia, 452 Brooks Hall, Athens, GA 30602 NATIONALLICENCE 700 1- Reis Jorge Financial Research Department, Federal Home Loan Mortgage Corporation, Department of Economics at the University of Georgia NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/1(1998-03), 61-86 0022-1090 33:1<61 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge