Commodity price modelling that matches current observables: a new approach
提出一种随机模型，使现货商品价格和便利收益率能同时匹配当前远期和期货价格及其波动率的期限结构，对金融从业者和研究者评估商品衍生品有用。
We develop a stochastic model of the spot commodity price and the spot convenience yield such that the model matches the current term structure of forward and futures prices, the current term structure of forward and futures volatilities, and the inter-temporal pattern of the volatility of the forward and futures prices. We let the underlying commodity price be a geometric Brownian motion and we let the spot convenience yield have a mean-reverting structure. The flexibility of the model, which makes it possible to simultaneously achieve all these goals, comes from allowing the volatility of the spot commodity price, the speed of mean-reversion parameter, the mean-reversion parameter, and the diffusion parameter of the spot convenience yield all to be time-varying deterministic functions.