Understanding the non-convergence of agricultural futures via stochastic storage costs and timing options

Author:

Guo Kevin,Leung Tim

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference27 articles.

1. Non-convergence in domestic commodity futures markets: causes, consequences, and remedies;Adjemian;USDA Econ. Res. Serv.,2013

2. Recent convergence performance of futures and cash prices for corn, soybeans and wheat;Aulerich;USDA Report. Econ. Res. Serv.,2013

3. Why do expiring futures and cash prices diverge for grain markets?;Aulerich;J. Futures Mark.,2011

4. On the timing option in a futures contract;Biagini;Math. Financ.,2007

5. Borodin, A.N., Salminen, P., 2002. Handbook of Brownian Motion- Facts and Formulae. Birkhauser Verlag.

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