The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk

Asia-Pacific Financial Markets

Volumn 5, Issue 2, 1998, Pages 129-158

  Miura, Ryozo ^a   Yamauchi, Hiroaki ^a  

^a HITOTSUBASHI UNIVERSITY   (Japan)

Author keywords

Bond pricing; Commodity linked bond; Convenience yield; Default probability; PDE

Indexed keywords

EID: 54649085052     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1010034115552     Document Type: Article

References (18)

1. Arnold, Ludwig (1973), Stochastic Differential Equations: Theory and Applications, Wiley-Interscience.
2. Bjerksund, Petter (1991), Contingent claims evaluation when the convenience yield is stochastic: Analytical results, Working Paper No. 1, Norges Handelshoyskole, Norway.
3. Black, Fisher (1976), The pricing of commodity contracts, J. Financial Econ. 3, 167-179.
4. Brennan, Michael J. (1991), The Price of convenience and the valuation of commodity contingent claims, in D. Lund and B. Øksendal (eds), Stochastic Models and Option Values: Application to Resources, Environment and Investment Problems, North Holland.
5. Carr, Peter (1987), A note on the pricing of commodity-linked bonds, J. Finance 42 (4), 1071-1076.
6. Duffie, Darrell (1989), Futures Markets, Prentice Hall.
7. Edwards, F.R. and Ma, C.W. (1992), Futures & Options, McGraw-Hill.
8. Friedman, Avner (1975), Stochastic Differential Equations and Applications: Vol. 1, Academic Press.
9. Gibson, R. and Schwartz, E.S. (1990), Stochastic convenience yield and the pricing of oil contingent claims, J. Finance 45 (3), 959-976.
10. Gibson, R. and Schwartz, E.S. (1991), Valuation of long term oil-linked assets, in D. Lund and B. Øksendal (eds), Stochastic Models and Option Values: Application to Resources, Environment and Investment Problems, North Holland.
11. Gibson, R. and Schwartz, E.S. (1993), The pricing of crude oil futures options contracts, Advances in Futures and Options Research 6, 291-311.
12. Kaldor, Nicholas (1939), Speculation and economic stability, Rev. Econ. Stud. 7 (3), 1-27.
13. Miura, Ryozo (1989), Modern Portfolio no Kiso (in Japanese), Dobunkan.
14. Miura, R. and Yamauchi, H. (1996), The pricing formula for commodity-linked bonds with stochastic convenience yields and default risk, Working Paper Series No. 8, Department of Commerce, Hitotsubashi University, Japan.
15. Schwartz, Eduardo S. (1982), The pricing of commodity-linked bonds, J. Finance 37 (2), 525-541.
16. Working, Holbrook (1948), The theory of the price of storage, Am. Econ. Rev. 39, 1254-1262.
17. Yamauchi, Hiroaki (1995), The commodity-linked bond - the pricing theory and the data analysis (in Japanese), Master Degree Thesis of Graduate School of Commerce, Hitotsubashi University, unpublished.
18. Yamauchi, Hiroaki (1998), Syouhin-kakaku·kinri·konbiniensu- irudo ga fukakujitsu ni hendou surubaai no syouhin-sakimono-kakakushiki to gen-yu konbiniensu-irudo no data bunseki (in Japanese), Keiei-Zaimu-Kenkyu- Sosyo, forthcoming.