Technical Note: Simulating the Two-Factor Schwartz and Smith Model of Commodity Prices

Graham Davis

The Engineering Economist, 2012, vol. 57, issue 2, 130-140

Abstract: Commodity price simulation is useful in many engineering economics applications, yet discrete approximations of the continuous stochastic processes used in modeling commodity prices are not always straightforward. This article describes the exact solution for discretely simulating the Schwartz and Smith (2000) two-factor model of commodity prices.

Date: 2012
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DOI: 10.1080/0013791X.2012.677302

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