Convenience yield

A convenience yield is an adjustment to the cost of carry in the non-arbitrage pricing formula for forward prices in markets with trading constraints.

Let $F_{t,T}$ be the forward price of an asset with initial price $S_t$ and maturity $T$ . Suppose that $r$ is the continuously compounded interest rate for one year. Then, the non-arbitrage pricing formula should be

单词	Convenience yield
释义	Convenience yield 英语百科 Convenience yield A convenience yield is an adjustment to the cost of carry in the non-arbitrage pricing formula for forward prices in markets with trading constraints. Let $F_{t,T}$ be the forward price of an asset with initial price $S_t$ and maturity $T$ . Suppose that $r$ is the continuously compounded interest rate for one year. Then, the non-arbitrage pricing formula should be
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