On the Term Structure of Futures and Forward Prices
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- Abdullah Almansour and Margaret Insley, 2016.
"The Impact of Stochastic Extraction Cost on the Value of an Exhaustible Resource: An Application to the Alberta Oil Sands,"
The Energy Journal,
International Association for Energy Economics, vol. 0(Number 2).
- Abdullah Almansour & Margaret Insley, 2013. "The impact of stochastic extraction cost on the value of an exhaustible resource: An application to the Alberta oil sands," Working Papers 1303, University of Waterloo, Department of Economics, revised Jun 2013.
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- Björk, Tomas & Blix, Magnus & Landen, Camilla, 2005. "On finite dimensional realizations for the term structure of futures prices," SSE/EFI Working Paper Series in Economics and Finance 620, Stockholm School of Economics.
More about this item
Keywordsterm structure; futures price; forward price; options; jump-diffusion model; affine term structure;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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