期刊名称：International Journal of Mathematics and Mathematical Sciences
印刷版ISSN：0161-1712
电子版ISSN：1687-0425
出版年度：2019
卷号：2019
页码：1-9
DOI：10.1155/2019/9450435
出版社：Hindawi Publishing Corporation
摘要：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.
