Stochastic Convenience Yield and the Pricing of Oil Contingent Claims

Bjerksund P.andS.Ekern 1989 Managing investment opportunities under price uncertainty: from “last change” to “wait and see” strategies Unpublished paper Norway School of Economics and Business Administration Bergen.

10.2307/2330710

Brennan F. 1986 The costs of convenience and the pricing of commodity contingent claims Unpublished paper University of British Columbia.

10.1016/0378-4266(79)90011-6

10.1086/296288

Cox J. 1975 Notes on option pricing. 1: Constant elasticity of variance diffusions Working Paper Stanford University.

10.1016/0304-405X(81)90002-7

10.2307/1911242

Duffie D., 1989, Futures Markets

10.1086/296385

10.1111/j.1540-6261.1988.tb03957.x

Gibson R.andE.Schwartz 1989 Valuation of long term oil‐linked assets Anderson Graduate School of Management UCLA Working Paper 6–89.

Gunnin R., 1984, Petroleum futures trading: Practical applications by the trade, Review of Research in Futures Markets, 3, 129

10.2307/2967593

10.1111/j.1540-6261.1980.tb02157.x

10.1093/comjnl/13.1.81

10.1086/261284

10.2307/1885541

10.1111/j.1540-6261.1985.tb02385.x

Samuelson P. A., 1965, Proof that properly anticipated prices fluctuate randomly, Industrial Management Review, 6, 41

10.2307/2330793

10.1086/296276

Verleger P., 1982, Oil Markets in Turmoil: An Aconomic Analysis

Working H., 1948, The theory of the price of storage, American Economic Review, 39, 1254