2015 Fiscal Year Final Research Report
A theoretical and empirical analysis on convenience yield and storage for commodity price
| Project/Area Number |
26780190
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| Research Category |
Grant-in-Aid for Young Scientists (B)
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| Allocation Type | Multi-year Fund |
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| Research Field |
Money/ Finance
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| Research Institution | Ritsumeikan Asia Pacific University |
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Principal Investigator |
NAKAJIMA Katsushi 立命館アジア太平洋大学, 国際経営学部, 助教 (90721572)
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| Project Period (FY) |
2014-04-01 – 2016-03-31
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| Keywords | 金融論 / コモディティ / 在庫理論 / コンビニエンス・イールド / 先物 / オプション / ヘッジ |
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| Outline of Final Research Achievements |
The purpose of this study is to derive the relationship between commodity spot price, futures price, marginal inventory cost, and the convenience yield. Furthermore, it was planned to calculate the optimal production plans and hedging strategies of a firm. In this study, we have two outcomes. One is to show how commodity spread options will be evaluated when there is a long-term relationship between number of commodity prices and convenience yields. Another is to model the convenience yield which is one of the key factor for commodity price.
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| Free Research Field |
ファイナンス
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