7On the spot-futures no-arbitrage relations in commodity markets*
1. Introduction
In this article we aim at explaining, through a parsimonious model, the relation between the spot and the futures prices of a commodity. The prices relation derives from the well-posedness of the optimization problem of an operator involved in the production and (when possible) the storage of a commodity. This producer also trades in the futures market. Such an approach is different from the classical no-arbitrage reasoning usually employed to explain the temporal basis in commodity markets. Interestingly, it remains relevant for non storable commodities, when standard no-arbitrage arguments cannot be safely applied. ...
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