Can I read Schwartz Two-Factor Model Overview on EtoBox?
Schwartz Two-Factor Model Overview by Superquant is a document available to read on EtoBox.
What is Schwartz Two-Factor Model Overview about?
The document summarizes the Schwartz two-factor commodity model. It describes the model dynamics under the physical and risk-neutral measures, including the joint normal distribution of the log-price and convenience yield factors. It also outlines how the model can price basic derivatives like futures and European options on futures in closed form using affine term structures and Black-Scholes type formulas. The model is implemented in the R package
- Author
- Superquant
- Language
- EN