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Stochastic Convenience Yield and the Pricing of Oil Contingent Claims Author info | Abstract | Publisher info | Download info | Related research | Statistics Gibson, Rajna
Schwartz, Eduardo S
This paper develops and empirically tests a two-factor model for pricing financial and real assets contingent on the price of oil. The factors are the spot price of oil and the instantaneous convenience yield. The parameters of the model are estimated using weekly oil futures contract prices from January 1984 to November 1988, and the model's performance is assessed out of sample by valuing futures contracts over the period November 1988 to May 1989. Finally, the model is applied to determine the present values of one barrel of oil deliverable in one to ten years time. Copyright 1990 by American Finance Association.
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Article provided by American Finance Association in its journal Journal of Finance .
Volume (Year): 45 (1990)
Issue (Month): 3 (July)
Pages: 959-76
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Handle: RePEc:bla:jfinan:v:45:y:1990:i:3:p:959-76Contact details of provider: Web page: http://www.afajof.org/ More information through EDIRC
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