Convenience yield
id:
convenience-yield-265-15080601
title:
Convenience yield
text:
A convenience yield is an implied return on holding inventories. It is an adjustment to the cost of carry in the non-arbitrage pricing formula for forward prices in markets with trading constraints. Let F t , T be the forward price of an asset with initial price S t and maturity T . Suppose that r is the continuously compounded interest rate for one year. Then, the non-arbitrage pricing formula should be F t , T = S t ⋅ e r However, this relationship does not hold in most commodity markets, part
brand slug:
wiki
category slug:
encyclopedia
description:
Implied return on holding inventories
original url:
https://en.wikipedia.org/wiki/Convenience_yield
date created:
date modified:
2023-10-10T13:59:32Z
main entity:
{"identifier":"Q748644","url":"https://www.wikidata.org/entity/Q748644"}
image:
fields total:
13
integrity:
14