Cuadernos del CIPE No.42 The Brennan and Schwartz (1985).
Factor model calibration through the maximum log-likelihood method: examples with gold
Carlos Armando Mejía Vega
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Esta publicación no tiene una declaración de licencia TDM (minería de texto y datos) registrada. La editorial titular puede declararla desde su cuenta en SIMEH; quedará publicada aquí con fecha y hora certificadas.
Formatos
| Formato | ISBN | Recordreference | DOI | Año |
|---|---|---|---|---|
| Impreso | 1794771542 | SIMEHPRINTJI93JBFD6C6JC5E1IG8H | — | 2017 |
Sobre esta obra
The Brennan and SchwarLz (1985) Factor Model (from now on thw Brennan and SchwarLz (198,5) model )was the first model proposed for modelling the dynamic of the Standard Spot Price of a commodity (specifically of copper) over time [9]. It was proposed by the economist Michael Brennan (Figure 1). and the engineer Eduardo Schwartz (Figure 2) in a paper published in The Journal of Business in April 19851. It was probably inspired by the Black and Scholes (1973) model '.