@article{Jin:20039,
      recid = {20039},
      author = {Jin, Yufei and Turvey, Calum G.},
      title = {A GENERAL APPROACH TO VALUING COMMODITY-LINKED BONDS},
      address = {2004},
      number = {377-2016-20778},
      series = {Selected Paper},
      pages = {34},
      year = {2004},
      abstract = {The purpose of this paper is to develop a general approach  to valuing commodity-linked bonds (CLBs) based on the  Heath-Jarrow-Morton (HJM) framework. The model deals with  four dimensions of uncertainty: prices of the underlying  commodity, the value of firm that issues bonds, interest  rates, and convenience yields. A mathematical formula for  the price of a commodity-linked bond is derived. The  previous results in Black and Scholes (1973), Merton  (1973), Schwartz (1982), and Atta-Mensah (1992) can be  obtained by specifying appropriate restrictions in the  general model. Using similar assumptions, as found in Miura  and Yamauchi (1998) and Carr (1987), more reasonable  results can be obtained through the application of the  present model.},
      url = {http://ageconsearch.umn.edu/record/20039},
      doi = {https://doi.org/10.22004/ag.econ.20039},
}