Schwartz One-Factor Model

Author

John Robin Inston

Published

September 25, 2026

0.1 Schwartz One-Factor Model

The Schwartz One-Factor Model is the simplest model for determining commodity forward prices using methods similar to those developed for stock prices.

1 References

  1. Schwartz, E. S. (1997). The stochastic behavior of commodity prices: implications for valuation and hedging. Journal of Finance, 52(3), 923-973.
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