Calendar Spreads in Commodity Futures Markets, Risk Premium and the Convenience Yield
Créé le
05.05.2011-
Mis à jour le
29.09.2017This paper studies calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts. These strategies reveal a calendar spread effect through the positive correlation between the two futures contracts. These strategies can easily be computed and analyzed under the Samuelson hypothesis.