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Valuing long-term commodity assets

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  • Schwartz, Eduardo
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    File URL: http://www.sciencedirect.com/science/article/B6W55-3YB4WBG-7/2/8907c3be179f2ad6c17ac51d47e5e7c1
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Energy Finance & Development.

    Volume (Year): 3 (1998)
    Issue (Month): 2 ()
    Pages: 85-99

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    Handle: RePEc:eee:jefdev:v:3:y:1998:i:2:p:85-99

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    Web page: http://www.elsevier.com/locate/inca/30413

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    References

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    1. Brennan, Michael J & Schwartz, Eduardo S, 1985. "Evaluating Natural Resource Investments," The Journal of Business, University of Chicago Press, vol. 58(2), pages 135-57, April.
    2. Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-75, March.
    3. Moon Hoe Lee, 1997. "Valuing Finite-Maturity Investment-Timing Options," Financial Management, Financial Management Association, vol. 26(2), Summer.
    4. Fama, Eugene F. & French, Kenneth R., 1997. "Industry costs of equity," Journal of Financial Economics, Elsevier, vol. 43(2), pages 153-193, February.
    5. Han T.J. Smit, 1997. "Investment Analysis of Offshore Concessions in the Netherlands," Financial Management, Financial Management Association, vol. 26(2), Summer.
    6. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
    7. Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-76, July.
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    Cited by:
    1. Lautier, Delphine & Simon, Yves, 2004. "La volatilité des prix des matières premières," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/1228, Université Paris-Dauphine.
    2. Lander, Diane M. & Pinches, George E., 1998. "Challenges to the Practical Implementation of Modeling and Valuing Real Options," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 537-567.
    3. Naito, Yuta & Takashima, Ryuta & Kimura, Hiroshi & Madarame, Haruki, 2010. "Evaluating replacement project of nuclear power plants under uncertainty," Energy Policy, Elsevier, vol. 38(3), pages 1321-1329, March.
    4. Lautier, Delphine, 2005. "Segmentation in the Crude Oil Futures Term Structure," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/95, Université Paris-Dauphine.
    5. Lautier, Delphine, . "The informational value of crude oil futures prices," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/1245, Université Paris-Dauphine.
    6. 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.
    7. Siddiqui, Afzal & Fleten, Stein-Erik, 2010. "How to proceed with competing alternative energy technologies: A real options analysis," Energy Economics, Elsevier, vol. 32(4), pages 817-830, July.
    8. Lautier, Delphine, 2009. "Convenience Yield and Commodity Markets," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/2274, Université Paris-Dauphine.
    9. Bastian-Pinto, Carlos & Brando, Luiz & Hahn, Warren J., 2009. "Flexibility as a source of value in the production of alternative fuels: The ethanol case," Energy Economics, Elsevier, vol. 31(3), pages 411-422, May.
    10. Elliott, Robert J. & Hyndman, Cody. B., 2007. "Parameter estimation in commodity markets: A filtering approach," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2350-2373, July.
    11. Lautier, Delphine & Simon, Yves, 2009. "Energy Finance: The Case for Derivative Markets," Open Access publications from Université Paris-Dauphine urn:hdl:123456789/1227, Université Paris-Dauphine.
    12. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper 2007-92, Tilburg University, Center for Economic Research.
    13. Yves Simon & Delphine Lautier, 2004. "La volatilité des prix des matières premières," Revue d'Économie Financière, Programme National Persée, vol. 74(1), pages 45-84.

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