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Holding commodities could suffer storage cost: c(k) for period k, thus enjoy convenience yield: y(k) for period k. Prove that forward price of such commodities
Holding commodities could suffer storage cost: c(k) for period k, thus enjoy convenience yield: y(k) for period k. Prove that forward price of such commodities for periods k=0,1,...,L satisfies F = d(0,L)S + k=0Ld(k,L)(c(k)y(k))
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