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Modelling the price of industrial commodities

โœ Scribed by Fridrik M. Baldursson


Book ID
117434686
Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
370 KB
Volume
16
Category
Article
ISSN
0264-9993

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This article presents a model of commodity price dynamics under the riskneutral measure where the spot price switches between two distinct stochastic processes depending on whether or not inventory is being held. Specifically, the drift of the spot price is equal to the cost of carry when the stock