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Stochastic Convenience Yield and the Pricing of Oil Contingent Claims

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  1. Olivier Feron & Pierre Gruet, 2020. "Estimation of the number of factors in a multi-factorial Heath-Jarrow-Morton model in electricity markets," Working Papers hal-02880824, HAL.
  2. Paraschiv, Florentina, 2013. "Price Dynamics in Electricity Markets," Working Papers on Finance 1314, University of St. Gallen, School of Finance.
  3. Andrés Mirantes & Javier Población & Gregorio Serna, 2015. "Commodity derivative valuation under a factor model with time-varying market prices of risk," Review of Derivatives Research, Springer, vol. 18(1), pages 75-93, April.
  4. Deren Unalmis & Ibrahim Unalmis & Derya Filiz Unsal, 2012. "On the Sources and Consequences of Oil Price Shocks : The Role of Storage," Working Papers 1230, Research and Monetary Policy Department, Central Bank of the Republic of Turkey.
  5. Aiube, Fernando Antonio Lucena & Baidya, Tara Keshar Nanda & Tito, Edison Americo Huarsaya, 2008. "Analysis of commodity prices with the particle filter," Energy Economics, Elsevier, vol. 30(2), pages 597-605, March.
  6. Dennis Alvaro & Ángel Guillén & Gabriel Rodríguez, 2017. "Modelling the volatility of commodities prices using a stochastic volatility model with random level shifts," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), vol. 153(1), pages 71-103, February.
  7. Margaret Insley & Yichun Huang, 2020. "The economics of water conservation regulations under uncertainty: An application to Alberta's Lower Athabasca River Region," Working Papers 2003, University of Waterloo, Department of Economics, revised Jul 2020.
  8. Jason West, 2012. "Convenience Yields in Bulk Commodities: The Case of Thermal Coal," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 6(4), pages 33-44.
  9. Mirantes, Andrés García & Población, Javier & Serna, Gregorio, 2013. "The stochastic seasonal behavior of energy commodity convenience yields," Energy Economics, Elsevier, vol. 40(C), pages 155-166.
  10. Ron Alquist & Lutz Kilian, 2010. "What do we learn from the price of crude oil futures?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 539-573.
  11. Apostolos Serletis & Libo Xu, 2019. "Markov Switching Oil Price Uncertainty," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(5), pages 1045-1064, October.
  12. Mehmet Balcilar & Zeynel Abidin Ozdemir, 2017. "The nexus between the oil price and its volatility in a stochastic volatility in mean model with time-varying parameters," Working Papers 15-33, Eastern Mediterranean University, Department of Economics.
  13. Power, Gabriel J. & Eaves, James & Turvey, Calum & Vedenov, Dmitry, 2017. "Catching the curl: Wavelet thresholding improves forward curve modelling," Economic Modelling, Elsevier, vol. 64(C), pages 312-321.
  14. Isabel Figuerola‐Ferretti & Alejandro Rodríguez & Eduardo Schwartz, 2021. "Oil price analysts' forecasts," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 41(9), pages 1351-1374, September.
  15. Robert Jarrow, 2010. "Convenience yields," Review of Derivatives Research, Springer, vol. 13(1), pages 25-43, April.
  16. Melike Bildirici & Nilgun Guler Bayazit & Yasemen Ucan, 2021. "Modelling Oil Price with Lie Algebras and Long Short-Term Memory Networks," Mathematics, MDPI, vol. 9(14), pages 1-10, July.
  17. John Crosby, 2008. "A multi-factor jump-diffusion model for commodities," Quantitative Finance, Taylor & Francis Journals, vol. 8(2), pages 181-200.
  18. Caporin, Massimiliano & Preś, Juliusz & Torro, Hipolit, 2012. "Model based Monte Carlo pricing of energy and temperature Quanto options," Energy Economics, Elsevier, vol. 34(5), pages 1700-1712.
  19. Ç Haksöz & S Seshadri, 2007. "Supply chain operations in the presence of a spot market: a review with discussion," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(11), pages 1412-1429, November.
  20. Unterschultz, James R., 2000. "New Instruments For Co-Ordination And Risk Sharing Within The Canadian Beef Industry," Project Report Series 24046, University of Alberta, Department of Resource Economics and Environmental Sociology.
  21. Jilong Chen & Christian Ewald, 2017. "On the Performance of the Comonotonicity Approach for Pricing Asian Options in Some Benchmark Models from Equities and Commodities," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-32, March.
  22. Takashi Kato & Jun Sekine & Hiromitsu Yamamoto, 2014. "A One-Factor Conditionally Linear Commodity Pricing Model under Partial Information," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 151-174, May.
  23. Eric Girard & Trevor Reid, 2010. "Cost Of Carry On Steroids: Application To Oil Futures Pricing," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, vol. 4(2), pages 153-163.
  24. 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 & Francis Journals, vol. 36(11), pages 1157-1167.
  25. Agnolucci, Paolo, 2009. "Volatility in crude oil futures: A comparison of the predictive ability of GARCH and implied volatility models," Energy Economics, Elsevier, vol. 31(2), pages 316-321, March.
  26. Zonggang Ma & Chaoqun Ma & Zhijian Wu, 2022. "Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods," Review of Derivatives Research, Springer, vol. 25(1), pages 47-91, April.
  27. Chiarella, Carl & Kang, Boda & Nikitopoulos, Christina Sklibosios & Tô, Thuy-Duong, 2013. "Humps in the volatility structure of the crude oil futures market: New evidence," Energy Economics, Elsevier, vol. 40(C), pages 989-1000.
  28. Leif Beisland & Dennis Frestad, 2013. "How fair-value accounting can influence firm hedging," Review of Derivatives Research, Springer, vol. 16(2), pages 193-217, July.
  29. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
  30. Adilson de Oliveira & Susan Schommer & Ledson L. G. da Rosa, 2023. "Oil price volatility: impacts in the Brazilian economy," Economics Bulletin, AccessEcon, vol. 43(1), pages 429-440.
  31. Dannenberg, Henry & Ehrenfeld, Wilfried, 2010. "Stochastic Income Statement Planning and Emissions Trading," IWH Discussion Papers 4/2010, Halle Institute for Economic Research (IWH).
  32. Isil Erol & Kanak Patel, 2007. "Pricing the Default Option of Inflation-Indexed Mortgages Using Explicit Finite Difference Method," International Real Estate Review, Global Social Science Institute, vol. 10(1), pages 48-92.
  33. Zagaglia, Paolo, 2010. "Macroeconomic factors and oil futures prices: A data-rich model," Energy Economics, Elsevier, vol. 32(2), pages 409-417, March.
  34. Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, vol. 158(1), pages 95-107, September.
  35. Keles, Dogan & Genoese, Massimo & Möst, Dominik & Fichtner, Wolf, 2012. "Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices," Energy Economics, Elsevier, vol. 34(4), pages 1012-1032.
  36. Longstaff, Francis A & Wang, Ashley, 2002. "ELECTRICITY FORWARD PRICES: A High-Frequency Empirical Analysis," University of California at Los Angeles, Anderson Graduate School of Management qt3mw4q41x, Anderson Graduate School of Management, UCLA.
  37. Jean-Thomas Bernard & Lynda Khalaf & Maral Kichian & Sebastien Mcmahon, 2008. "Forecasting commodity prices: GARCH, jumps, and mean reversion," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(4), pages 279-291.
  38. Jin, Yufei & Turvey, Calum G., 2004. "A General Approach To Valuing Commodity-Linked Bonds," 2004 Annual meeting, August 1-4, Denver, CO 20039, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
  39. Sung Je Byun, 2017. "Speculation in Commodity Futures Markets, Inventories and the Price of Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  40. Joëts, Marc & Mignon, Valérie & Razafindrabe, Tovonony, 2017. "Does the volatility of commodity prices reflect macroeconomic uncertainty?," Energy Economics, Elsevier, vol. 68(C), pages 313-326.
  41. Calum G. Turvey, 2006. "Managing food industry business and financial risks with commodity-linked credit instruments," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 523-545.
  42. 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.
  43. Jonathan M. Godbey & Jimmy E. Hilliard, 2007. "Adjusting stacked-hedge ratios for stochastic convenience yield: a minimum variance approach," Quantitative Finance, Taylor & Francis Journals, vol. 7(3), pages 289-300.
  44. Patrik Karlsson & Kay F Pilz & Erik Schlogl, 2016. "Calibrating Market Model to Commodity and Interest Rate Risk," Research Paper Series 372, Quantitative Finance Research Centre, University of Technology, Sydney.
  45. Deschatre, Thomas & Féron, Olivier & Gruet, Pierre, 2021. "A survey of electricity spot and futures price models for risk management applications," Energy Economics, Elsevier, vol. 102(C).
  46. John Elder & Apostolos Serletis, 2010. "Oil Price Uncertainty," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 42(6), pages 1137-1159, September.
  47. Carolina Effio Saldivar & José Herskovits & Juan Pablo Luna & Claudia Sagastizábal, 2019. "Multidimensional Calibration Of Crude Oil And Refined Products Via Semidefinite Programming Techniques," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-31, February.
  48. Henry L. Bryant & Michael S. Haigh, 2005. "Derivative pricing model and time‐series approaches to hedging: A comparison," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(7), pages 613-641, July.
  49. Víctor Manuel García de la Vega & Antonio Ruiz Porras, 2009. "Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, vol. 3(2), pages 1-24.
  50. Constantino Hevia & Ivan Petrella & Martin Sola, 2018. "Risk premia and seasonality in commodity futures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(6), pages 853-873, September.
  51. Almansour, Abdullah, 2016. "Convenience yield in commodity price modeling: A regime switching approach," Energy Economics, Elsevier, vol. 53(C), pages 238-247.
  52. Tomas Björk & Magnus Blix & Camilla Landén, 2006. "On Finite Dimensional Realizations For The Term Structure Of Futures Prices," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 9(03), pages 281-314.
  53. Carl Chiarella & Les Clewlow & Boda Kang, 2016. "The Evaluation Of Multiple Year Gas Sales Agreement With Regime Switching," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-25, February.
  54. Fred Espen Benth, 2021. "Pricing of Commodity and Energy Derivatives for Polynomial Processes," Mathematics, MDPI, vol. 9(2), pages 1-30, January.
  55. 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.
  56. Tellez Gaytán, Jesús Cuauhtémoc & Serrano Acevedo, María Eugenia & Rico Arias, Jaime Ángel, 2014. "Modelación del clima bajo un proceso estocástico de reversión a la media estacional / Modeling weather under a seasonal mean reversion stochastic process," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 4(1), pages 9-32, enero-jun.
  57. Nikolaos Milonas & Thomas Henker, 2001. "Price spread and convenience yield behaviour in the international oil market," Applied Financial Economics, Taylor & Francis Journals, vol. 11(1), pages 23-36.
  58. Corinne Chaton & Laure Durand‐Viel, 2013. "Real Asset Valuation under Imperfect Competition: Can We Forget About Market Fundamentals?," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 22(1), pages 125-139, March.
  59. Cartea, Álvaro & Williams, Thomas, 2008. "UK gas markets: The market price of risk and applications to multiple interruptible supply contracts," Energy Economics, Elsevier, vol. 30(3), pages 829-846, May.
  60. Thompson, Andrew C., 2001. "The Hotelling Principle, backwardation of futures prices and the values of developed petroleum reserves -- the production constraint hypothesis," Resource and Energy Economics, Elsevier, vol. 23(2), pages 133-156, April.
  61. Babak Jafarizadeh & Reidar B. Bratvold, 2021. "Project Valuation: Price Forecasts Bound to Discount Rates," Decision Analysis, INFORMS, vol. 18(2), pages 139-152, June.
  62. Davis, Graham A., 1998. "Estimating Volatility and Dividend Yield When Valuing Real Options to Invest or Abandon," The Quarterly Review of Economics and Finance, Elsevier, vol. 38(3, Part 2), pages 725-754.
  63. Liu, Peng (Peter) & Tang, Ke, 2010. "No-arbitrage conditions for storable commodities and the modeling of futures term structures," Journal of Banking & Finance, Elsevier, vol. 34(7), pages 1675-1687, July.
  64. Sebastian Maier, 2021. "Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches," Annals of Operations Research, Springer, vol. 299(1), pages 907-937, April.
  65. Davidson Heath, 2019. "Macroeconomic Factors in Oil Futures Markets," Management Science, INFORMS, vol. 65(9), pages 4407-4421, September.
  66. Benth, Fred Espen & Koekebakker, Steen, 2015. "Pricing of forwards and other derivatives in cointegrated commodity markets," Energy Economics, Elsevier, vol. 52(PA), pages 104-117.
  67. Guedes, José & Santos, Pedro, 2016. "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, vol. 60(C), pages 377-386.
  68. Alvaro Cartea & Marcelo Figueroa & Helyette Geman, 2009. "Modelling Electricity Prices with Forward Looking Capacity Constraints," Applied Mathematical Finance, Taylor & Francis Journals, vol. 16(2), pages 103-122.
  69. Czudaj Robert L., 2020. "The role of uncertainty on agricultural futures markets momentum trading and volatility," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 24(3), pages 1-39, June.
  70. Deren Unalmis & Ibrahim Unalmis & Derya Filiz Unsal, 2012. "On Oil Price Shocks: The Role of Storage," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 60(4), pages 505-532, December.
  71. Horváth, Lajos & Liu, Zhenya & Rice, Gregory & Wang, Shixuan, 2020. "A functional time series analysis of forward curves derived from commodity futures," International Journal of Forecasting, Elsevier, vol. 36(2), pages 646-665.
  72. Jilong Chen & Christian Ewald & Ruolan Ouyang & Sjur Westgaard & Xiaoxia Xiao, 2022. "Pricing commodity futures and determining risk premia in a three factor model with stochastic volatility: the case of Brent crude oil," Annals of Operations Research, Springer, vol. 313(1), pages 29-46, June.
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  75. Ready, Robert C., 2018. "Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices," Journal of Monetary Economics, Elsevier, vol. 94(C), pages 1-26.
  76. Xuemin Yan, 2002. "Valuation of commodity derivatives in a new multi-factor model," Review of Derivatives Research, Springer, vol. 5(3), pages 251-271, October.
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