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Valuing long-term commodity assets

Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001445708

The stochastic behavior of commodity prices : implications for valuation and hedging

Schwartz, Eduardo S. - In: The journal of finance : the journal of the American … 52 (1997) 3, pp. 923-973

Persistent link: https://www.econbiz.de/10001225632

The pricing of crude oil futures options contracts

Gibson, Rajna; Schwartz, Eduardo S. - 1990 - Rev

Persistent link: https://www.econbiz.de/10000789482

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R.; Schwartz, Eduardo S. - 1997

Persistent link: https://www.econbiz.de/10000972817

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R. - In: Journal of financial and quantitative analysis : JFQA 33 (1998) 1, pp. 33-59

Persistent link: https://www.econbiz.de/10001243206

Implementing a stochastic model for oil futures prices

Cortazar, Gonzalo; Schwartz, Eduardo S. - In: Energy economics 25 (2003) 3, pp. 215-238

Persistent link: https://www.econbiz.de/10001764802

Commodity Price Forecasts, Futures Prices and Pricing Models

Cortazar, Gonzalo - 2017

Even though commodity pricing models have been successful in fitting the term structure of futures prices and its dynamics, they do not generate accurate true distributions of spot prices. This paper develops a new approach to calibrate these models using not only observations of oil futures...

Persistent link: https://www.econbiz.de/10012965958

Expected returns on commodity ETFs and their underlying assets

Cortazar, Gonzalo; Ortega, Hector; Santa Maria, Joaquin; … - In: Journal of commodity markets : JCM 36 (2024), pp. 1-20

Persistent link: https://www.econbiz.de/10015162611

Unspanned stochastic volatility and the pricing of commodity derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - In: The review of financial studies 22 (2009) 11, pp. 4423-4461

Persistent link: https://www.econbiz.de/10003896317

Unspanned stochastic volatility and the pricing of commodity derivatives

Trolle, Anders B.; Schwartz, Eduardo S. - 2006

Persistent link: https://www.econbiz.de/10003399801