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| Tekijä: | Schwartz, E. S. |
| Otsikko: | The stochastic behavior of commodity prices: Implications for valuation and hedging |
| Lehti: | Journal of Finance
1997 : JUL, VOL. 52:3, p. 923-973 |
| Asiasana: | COMMODITY PRICES STOCHASTIC PROCESSES VALUATION HEDGING FINANCIAL MODELS |
| Kieli: | eng |
| Tiivistelmä: | This paper develops three models that in different ways take into account the mean reverting nature of commodity prices and estimate them using data on copper and oil futures prices. The pricing and hedging of commodity contingent claims and the valuation of nature resource investments depend on the assumed stochastic process of the underlying commodity. The major difficulty in the analysis is that publicly available futures contracts have maturities shorter than two years whereas many of the assets wished to price and hedge have maturities longer than that. |
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