Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model
Joint Authors
Mbele Bidima, Martin Le Doux
Welemical, Tesfamariam Tadesse
Aduda, Jane Akinyi
Source
International Journal of Mathematics and Mathematical Sciences
Issue
Vol. 2019, Issue 2019 (31 Dec. 2019), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2019-03-12
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
In this paper, we consider the Schwartz’s one-factor model for a storable commodity and a futures contract on that commodity.
We introduce the analysis of asymptotic arbitrage in storable commodity models by proving that the futures prices process allows asymptotic exponential arbitrage with geometric decaying failure probability.
Next, we find by comparison that, under some similar conditions, our result is a corresponding commodity assets (stronger) version of Föllmer and Schachermayer’s result stated in the modeling setting of geometric Ornstein-Uhlenbeck process for financial security assets.
American Psychological Association (APA)
Welemical, Tesfamariam Tadesse& Aduda, Jane Akinyi& Mbele Bidima, Martin Le Doux. 2019. Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model. International Journal of Mathematics and Mathematical Sciences،Vol. 2019, no. 2019, pp.1-8.
https://search.emarefa.net/detail/BIM-1166438
Modern Language Association (MLA)
Welemical, Tesfamariam Tadesse…[et al.]. Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model. International Journal of Mathematics and Mathematical Sciences No. 2019 (2019), pp.1-8.
https://search.emarefa.net/detail/BIM-1166438
American Medical Association (AMA)
Welemical, Tesfamariam Tadesse& Aduda, Jane Akinyi& Mbele Bidima, Martin Le Doux. Asymptotic Exponential Arbitrage in the Schwartz Commodity Futures Model. International Journal of Mathematics and Mathematical Sciences. 2019. Vol. 2019, no. 2019, pp.1-8.
https://search.emarefa.net/detail/BIM-1166438
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1166438