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Keywords: Convenience Yield
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2009) 17 (1): 51–75.
Published: 28 February 2009
...Bong-Gyu Jang; Sang-Gyu Lim; Ho-Seok Lee We investigated term structure models for commodity prices to value derivative-linked securities (DLS) traded in Korea. We especially highlighted geometric Brownian motion (GBM) model considering a convenience yield and Schwartz model reflecting mean...
