Short-Term Variations and Long-Term Dynamics in Commodity Prices
作者： Eduardo Schwartz , James E. Smith
DOI: 10.1287/MNSC.46.7.893.12034
关键词:
摘要: … model of commodity prices that allows meanreversion in short-term prices and uncertainty in the … We estimate the parameters of the model using prices for oil futures contracts and apply …
acm.org
jstor.org 
sci-hub.se 参考文章(22)
Samuel Karlin, Howard E Taylor, A second course in stochastic processes ,(1981)
Lenos Trigeorgis, Real Options in Capital Investment: Models, Strategies, and Applications ,(1995)
John C. Cox, Jonathan E. Ingersoll, Stephen A. Ross, AN INTERTEMPORAL GENERAL EQUILIBRIUM MODEL OF ASSET PRICES Econometrica. ,vol. 53, pp. 363- 384 ,(1985) , 10.2307/1911241
F P Wheeler, Bayesian forecasting and dynamic models (2nd ed.) Journal of the Operational Research Society. ,vol. 49, pp. 179- 180 ,(1997) , 10.1057/PALGRAVE.JORS.2600494
Eduardo Schwartz, Valuing long-term commodity assets Journal of Energy Finance & Development. ,vol. 3, pp. 85- 99 ,(1998) , 10.1016/S1085-7443(99)80070-2
Robert S. Pindyck, Avinash K. Dixit, Investment Under Uncertainty ,(1994)
David G. Laughton, Henry D. Jacoby, Reversion, timing options, and long-term decision-making Financial Management. ,vol. 22, pp. 225- 240 ,(1993) , 10.2307/3665940
James L. Paddock, Daniel R. Siegel, James L. Smith, Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases Quarterly Journal of Economics. ,vol. 103, pp. 479- 508 ,(1988) , 10.2307/1885541
James E. Smith, Kevin F. McCardle, Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches Operations Research. ,vol. 46, pp. 198- 217 ,(1998) , 10.1287/OPRE.46.2.198
RAJNA GIBSON, EDUARDO S. SCHWARTZ, Stochastic Convenience Yield and the Pricing of Oil Contingent Claims Journal of Finance. ,vol. 45, pp. 959- 976 ,(1990) , 10.1111/J.1540-6261.1990.TB05114.X