Implementing a stochastic model for oil futures prices

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dc.contributor.authorCortazar, G
dc.contributor.authorSchwartz, ES
dc.date.accessioned2024-01-10T13:49:19Z
dc.date.available2024-01-10T13:49:19Z
dc.date.issued2003
dc.description.abstractThis paper develops a parsimonious three-factor model of the term structure of oil futures prices that can be easily estimated from available futures price data. In addition, it proposes a new simple spreadsheet implementation procedure. The procedure is flexible, may be used with market prices of any oil contingent claim with closed form pricing solution, and easily deals with missing data problems. The approach is implemented using daily prices of all futures contracts traded at the New York Mercantile Exchange between 1991 and 2001. In-sample and out-of-sample tests indicate that the model fits the data extremely well. Though the paper concentrates on oil, the approach can be used for any other commodity with well-developed futures markets. (C) 2002 Elsevier Science B.V. All rights reserved.
dc.fechaingreso.objetodigital16-04-2024
dc.format.extent24 páginas
dc.fuente.origenWOS
dc.identifier.doi10.1016/S0140-9883(02)00096-8
dc.identifier.issn0140-9883
dc.identifier.urihttps://doi.org/10.1016/S0140-9883(02)00096-8
dc.identifier.urihttps://repositorio.uc.cl/handle/11534/79440
dc.identifier.wosidWOS:000182907300001
dc.information.autorucIngeniería;Cortázar G;S/I;99516
dc.issue.numero3
dc.language.isoen
dc.nota.accesoContenido parcial
dc.pagina.final238
dc.pagina.inicio215
dc.publisherELSEVIER SCIENCE BV
dc.revistaENERGY ECONOMICS
dc.rightsacceso restringido
dc.subjectcrude oil futures
dc.subjectstochastic behavior
dc.subjectmodel implementation
dc.subjectCONTINGENT CLAIMS
dc.subjectCOMMODITY PRICES
dc.subjectVALUATION
dc.subject.ods08 Decent Work and Economic Growth
dc.subject.odspa08 Trabajo decente y crecimiento económico
dc.titleImplementing a stochastic model for oil futures prices
dc.typeartículo
dc.volumen25
sipa.codpersvinculados99516
sipa.indexWOS
sipa.indexScopus
sipa.trazabilidadCarga SIPA;09-01-2024
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