caa a22 4500 388047623 CHVBK 20180307125042.0 cr unu---uuuuu 161130e199803 xx s 000 0 eng 10.2307/2331377 doi S0022109000023863 pii (NATIONALLICENCE)cambridge-10.2307/2331377 Pricing of Options on Commodity Futures with Stochastic Term Structures of Convenience Yields and Interest Rates [Elektronische Daten] We develop a model to value options on commodity futures in the presence of stochastic interest rates as well as stochastic convenience yields. In the development of the model, we distinguish between forward and future convenience yields, a distinction that has not been recognized in the literature. Assuming normality of continuously compounded forward interest rates and convenience yields and log-normality of the spot price of the underlying commodity, we obtain closed-form solutions generalizing the Black-Scholes/Merton's formulas. We provide numerical examples with realistic parameter values showing that both the effect of introducing stochastic convenience yields into the model and the effect of having a short time lag between the maturity of a European call option and the underlying futures contract have significant impact on the option prices. Copyright © School of Business Administration, University of Washington 1998 Miltersen Kristian R. Department of Management, School of Business and Economics, Odense University, Campusvej 55, DK-5230 Odense M, Denmark Schwartz Eduardo S. Department of Finance, John E. Anderson Graduate School of Management at UCLA, 110 Westwood Plaza, Box 951481, UCLA, Los Angeles, CA 90095-1481 Journal of Financial and Quantitative Analysis Cambridge University Press 33/1(1998-03), 33-59 0022-1090 33:1<33 1998 33 JFQ https://doi.org/10.2307/2331377 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.2307/2331377 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Miltersen Kristian R. Department of Management, School of Business and Economics, Odense University, Campusvej 55, DK-5230 Odense M, Denmark NATIONALLICENCE 700 1- Schwartz Eduardo S. Department of Finance, John E. Anderson Graduate School of Management at UCLA, 110 Westwood Plaza, Box 951481, UCLA, Los Angeles, CA 90095-1481 NATIONALLICENCE 773 0- Journal of Financial and Quantitative Analysis Cambridge University Press 33/1(1998-03), 33-59 0022-1090 33:1<33 1998 33 JFQ CC0 http://creativecommons.org/publicdomain/zero/1.0 nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-cambridge