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dc.contributor.authorLautier, Delphine
dc.date.accessioned2009-10-19T08:41:05Z
dc.date.available2009-10-19T08:41:05Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2274
dc.language.isoenen
dc.subjectConvenience yielden
dc.subjectNon storable commoditiesen
dc.subjectArbitrageen
dc.subjectInventoryen
dc.subjectCommodityen
dc.subject.ddc332en
dc.subject.classificationjelO13en
dc.subject.classificationjelG14en
dc.subject.classificationjelG24en
dc.subject.classificationjelE43en
dc.titleConvenience Yield and Commodity Marketsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis article explains the role of the convenience yield in the relationships linking spot and futures prices in commodity derivatives markets. First, this variable restores the non arbitrage relationship between the prices of the underlying asset and the derivative instrument. Second, it allows establishing connections between commodities and other assets. Third, it explains why firms store at an apparent loss. The convenience is however a controversial concept. Indeed, the absence of direct evidence for this quantity signifies, first that it is necessary to address the issue of estimating it and second, that it can be accused of being an ad hoc construction. Moreover, in spite of an early interest for this concept, there is no real consensus on its definition. This article aims at gathering all the reasonable explanations which were proposed trough time in the literature.en
dc.relation.isversionofjnlnameBankers, Markets & Investors
dc.relation.isversionofjnlissue102
dc.relation.isversionofjnldate2009
dc.relation.isversionofjnlpages59-66
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherRevue Banque
dc.subject.ddclabelEconomie financièreen


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