Browsing School of Pure and Applied Sciences by Subject "Reduced Form Model"

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    • A Reduced Form of the Three Factor Commodity Derivative Valuation Model 

      Dibessa, Betiglu Mezgebu; Ngare, Philip; Orwa, George Otieno (Research India Publications, 2016)
      This study build a reduced form of three factor valuation model by explicitly taking into account the unobservable character of the convenience yield. The spot priceprocess,theinstantaneousconvenienceyieldandCIRinterestr ...