A TERM STRUCTURE MODEL FOR AGRICULTURAL FUTURES

An extension of Schwartz's model of futures price term structure that includes seasonality is developed. The approach allows futures prices for all maturities to be estimated simultaneously by exploiting arbitrage relationships. An application to wheat futures prices is presented.


Issue Date:
1999
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/21543
Total Pages:
12
Series Statement:
Selected Paper




 Record created 2017-04-01, last modified 2017-08-22

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