On the Term Structure of Futures and Forward Prices
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"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).
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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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