This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Stochastic Convenience Yield and the Pricing of Oil Contingent Claims

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Gibson, Rajna
Schwartz, Eduardo S
Abstract

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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://links.jstor.org/sici?sici=0022-1082%28199007%2945%3A3%3C959%3ASCYATP%3E2.0.CO%3B2-J&origin=repec
File Format: application/pdf
File Function: full text
Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.

As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

Publisher Info
Article provided by American Finance Association in its journal Journal of Finance.

Volume (Year): 45 (1990)
Issue (Month): 3 (July)
Pages: 959-76
Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Handle: RePEc:bla:jfinan:v:45:y:1990:i:3:p:959-76

Contact details of provider:
Web page: http://www.afajof.org/
More information through EDIRC

Order Information:
Web: http://www.afajof.org/membership/join.asp

For technical questions regarding this item, or to correct its listing, contact: (Christopher F. Baum).

Related research
Keywords:

Cited by:
(explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)

  1. Delphine Lautier & Alain Galli, 2004. "Simple and extended Kalman filters: an application to term structures of commodity prices," Applied Financial Economics, Taylor and Francis Journals, vol. 14(13), pages 963-973, September. [Downloadable!] (restricted)
  2. Alvaro Cartea & Thomas Williams, 2006. "UK Gas Markets: the Market Price of Risk and Applications to Multiple Interruptible Supply Contracts," Birkbeck Working Papers in Economics and Finance 0608, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
    Other versions:
  3. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  4. Sami Järvinen & Harri Toivonen, 2004. "Pricing European commodity swaptions," Applied Economics Letters, Taylor and Francis Journals, vol. 11(15), pages 925-929, December. [Downloadable!] (restricted)
  5. Martínez de Albeniz, Victor & Vendrell, Josep M., 2008. "A capacitated commodity trading model with market power," IESE Research Papers D/728, IESE Business School. [Downloadable!]
  6. Les Clewlow & Chris Strickland, 1999. "Valuing Energy Options in a One Factor Model Fitted to Forward Prices," Research Paper Series 10, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  7. Alvaro Cartea & Marcelo G. Figueroa & Helyette Geman, 2008. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Birkbeck Working Papers in Economics and Finance 0802, Birkbeck, School of Economics, Mathematics & Statistics. [Downloadable!]
  8. Jongwoo Lee & Dean Paxson, 2003. "Confined exponential approximations for the valuation of American options," European Journal of Finance, Taylor and Francis Journals, vol. 9(5), pages 449-474, October. [Downloadable!] (restricted)
  9. Considine, Timothy J. & Larson, Donald F., 1996. "Uncertainty and the price for crude oil reserves," Policy Research Working Paper Series 1655, The World Bank. [Downloadable!]
  10. An-Sing Chen & James Wuh Lin, 2004. "Cointegration and detectable linear and nonlinear causality: analysis using the London Metal Exchange lead contract," Applied Economics, Taylor and Francis Journals, vol. 36(11), pages 1157-1167, June. [Downloadable!] (restricted)
  11. Alejandro Balbas & Anna Downarowicz & Javier Gil-Bazo, 2005. "Market Imperfections, Discount Factors And Stochastic Dominance: An Empirical Analysis With Oil-Linked Derivatives," Business Economics Working Papers wb055013, Universidad Carlos III, Departamento de Economía de la Empresa. [Downloadable!]
  12. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper 2007-92, Tilburg University, Center for Economic Research. [Downloadable!]
  13. Miguel Herce & John E. Parsons & Robert C. Ready, 2006. "Using Futures Prices to Filter Short-term Volatility and Recover a Latent, Long-term Price Series for Oil," Working Papers 0605, Massachusetts Institute of Technology, Center for Energy and Environmental Policy Research. [Downloadable!]
  14. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien McMahon, 2006. "Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion," Working Papers 06-14, Bank of Canada. [Downloadable!]
  15. Björk, Tomas & Landen, Camilla, 2000. "On the Term Structure of Futures and Forward Prices," Working Paper Series in Economics and Finance 0417, Stockholm School of Economics, revised 20 Dec 2000. [Downloadable!]
  16. Margaret Insley & Tony Wirjanto, 2008. "Contrasting two approaches in real options valuation: contingent claims versus dynamic programming," Working Papers 08002, University of Waterloo, Department of Economics. [Downloadable!]
  17. Paschke, Raphael & Prokopczuk, Marcel, 2007. "Integrating Multiple Commodities in a Model of Stochastic Price Dynamics," MPRA Paper 5412, University Library of Munich, Germany. [Downloadable!]
  18. Richter, Martin & Sørensen, Carsten, 2002. "Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans," Working Papers 2002-4, Copenhagen Business School, Department of Finance. [Downloadable!]
  19. Anders B. Trolle & Eduardo S. Schwartz, 2006. "Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives," NBER Working Papers 12744, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  20. Francis Longstaff & Ashley Wang, 2002. "Electricity Forward Prices: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management 1046, Anderson Graduate School of Management, UCLA. [Downloadable!]
  21. Eckhard Platen & Jason West & Wolfgang Breymann, 2004. "An Intraday Empirical Analysis of Electricity Price Behaviour," Research Paper Series 140, Quantitative Finance Research Centre, University of Technology, Sydney. [Downloadable!]
  22. Isil Erol & Kanak Patel, 2004. "Housing Policy and Mortgage Finance in Turkey During the Late 1990s Inflationary Period," International Real Estate Review, Asian Real Estate Society, vol. 7(1), pages 98-120. [Downloadable!] (restricted)
  23. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN. [Downloadable!]
  24. Serena Ng & Francisco Ruge-Murcia, 1997. "Explaining the Persistence of Commodity Prices," Boston College Working Papers in Economics 374, Boston College Department of Economics. [Downloadable!]
    Other versions:
Statistics
Access and download statistics

Did you know? IDEAS also computes impact factors for journals and working paper series.

This page was last updated on 2008-11-26.


This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.