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Suppose the continuously compounded convenience yield is c, proportional to the value of the commodity. The commodity lender saves l - c by not physi- cally storing the commodity; hence, the commodity borrower pays d = c - l, compensating the lender for convenience yield less storage cost.
V5 184
A - B = convenience yield minus storage costs |
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发表于 2011-7-11 19:36
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