Valuation of Commodity Futures and Options Under Stochastic Convenience Yields, Interest Rates, and Jump Diffusions in the Spot
研究随机便利收益、随机利率和现货价格跳跃对商品期货、远期和期货期权定价的影响，数值例子显示多因素模型与单因素模型存在显著差异。
This paper investigates the effects of stochastic convenience yields, stochastic interest rates, and jumps in the spot price on the pricing of commodity futures, forwards, and futures options. Numerical examples show that one-factor prices differ materially from the stochastic convenience yield two-factor prices when convenience yield is considerably above its long-term average. The extension to a three-factor model with stochastic interest rates leads to a different futures price but the forward price is unchanged. The extension ofthe three-factor model to include jumps in the spot price process does not affect forward or futures prices but it can have an impact on options prices. The model is applied to price the present value of future cash flows from a real asset.