It is well known that the prices of crude oil and its primary refined products (i.e., heating oil and gasoline) are cointegrated. In this paper, we extend this empirical evidence by showing that the refining margin is stationary and therefore exhibits different dynamics from crude oil or its...

This paper contributes to the commodity pricing literature by consistently modeling the convenience yield with its empirically observed properties. Specifically, in this paper, we show how a four-factor model for the stochastic behavior of commodity prices, with two long- and short-term factors...

<Para ID="Par1">It is well known that market prices of risk play an important role in commodity derivative valuation. There is an extensive literature showing that market prices of risk vary through time. Based on these results, a factor model, with two long- and short-term factors, with market prices of risk...</para>

We build a Real Options model to assess the importance of private provisionand the impact of expropriation risk on investment timing, investmentvolumes, governmental costs and social welfare. We consider two types ofbusinesses (essential and non essential businesses) and two stages (operatingand...