Commodity futures pricing is complicated by costs for storage of the underlying commodity. When the asset is
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Commodity futures pricing is complicated by costs for storage of the underlying commodity.
When the asset is willingly stored by investors, the storage costs net of convenience yield enter the futures pricing equation as follows:
F0 = P0 (1 + rf + c)
T The non-interest net carrying costs,
c, play the role of a “negative dividend” in this context. P-63
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Related Book For
ISE Investments
ISBN: 9781266085963
13th International Edition
Authors: Zvi Bodie, Alex Kane, Alan Marcus
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