Vincent Lacoste

Groupe ESC Rouen

1, rue du Maréchal Juin - BP 188

Mont Saint Aignan Cedex, Normandy 76825

France

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A Partial Equilibrium Model for the Convenience Yield Risk Premium

Number of pages: 27 Posted: 17 Sep 2010 Last Revised: 23 May 2011
Sami Attaoui, Vincent Lacoste and Pierre Six
NEOMA Business School, Groupe ESC Rouen and Neoma Business School
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Abstract:

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Convenience Yield, Risk Premium, Commodity Futures Markets, Commodity Risk Management, Commodity Derivatives Pricing, Samuelson Effect