A Preference-Free Formula to Value Commodity Derivatives

Keyphrases

• Mean Reversion 100%
• Commodity Derivatives 100%
• Futures Contracts 50%
• European Options 50%
• Return Volatility 50%
• Eternal Return 50%
• Commodity Prices 50%
• Commodity Returns 50%
• Geometric Brownian Motion 50%
• Affine Function 50%
• Martingale Measure 50%
• Market Completeness 50%
• Non-stationarity 50%
• Stochastic Convenience Yield 50%

Economics, Econometrics and Finance

• Commodity Derivative 100%
• Price 100%
• Mean Reversion 66%
• Returns Volatility 33%
• Option Trading 33%
• Levy Process 33%
• Convenience Yields 33%