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COMMODITY PRICE DYNAMICS AND DERIVATIVE VALUATION: A REVIEW

Janis Back () and Marcel Prokopczuk ()
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Janis Back: WHU – Otto Beisheim School of Management, 56179 Vallendar, Germany

International Journal of Theoretical and Applied Finance (IJTAF), 2013, vol. 16, issue 06, 1-30

Abstract: This paper reviews extant research on commodity price dynamics and commodity derivative pricing models. In the first half, we provide an overview of key characteristics of commodity price behavior that have been explored and documented in the theoretical and empirical literature. In the second half, we review existing derivative pricing models and discuss how the peculiarities of commodity markets have been integrated in these models. We conclude the paper with a brief outlook on various important research questions that need to be addressed in the future.

Keywords: Review; commodity derivatives; convenience yield; theory of storage; commodity prices; seasonality; Samuelson effect; mean reversion (search for similar items in EconPapers)
Date: 2013
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DOI: 10.1142/S0219024913500325

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