haku: @author Smith, J. / yhteensä: 31
viite: 8 / 31
| Tekijä: | Schwartz, E. Smith, J. |
| Otsikko: | Short-term variations and long-term dynamics in commodity prices |
| Lehti: | Management Science
2000 : JUL, VOL. 46:7, p. 893-911 |
| Asiasana: | COMMODITY PRICES OPTIONS STOCHASTIC PROCESSES |
| Kieli: | eng |
| Tiivistelmä: | In this article the authors develop a two-factor model of commodity prices that allows mean-reversion in short-term prices and uncertainty in the equilibrium level to which prices revert. Although these two factors are not directly observable, they may be estimated from spot and future prices. Intuitively, movements in prices for long-maturity futures contracts provide information about the equilibrium price level, and differences between the prices for the short- and long-term contracts provide information about short-term variations in prices. |
SCIMA