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The case for an integrated programme for commodities

✍ Scribed by J.D.A. Cuddy

Publisher
Elsevier Science
Year
1979
Tongue
English
Weight
998 KB
Volume
5
Category
Article
ISSN
0301-4207

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## Abstract This article presents a family of term structure models that can be applied to value contingent claims in multicommodity and seasonal markets. We apply the framework to the futures contracts on crude and heating oils trading on NYMEX. We show how to deal with the problem of having to va