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Variance risk premia in energy commodities

Trolle, Anders B.; Schwartz, Eduardo S. - In: The journal of derivatives : the official publication … 17 (2009/10) 3, pp. 15-32

Persistent link: https://www.econbiz.de/10003961013

Expected commodity returns and pricing models

Cortazar, Gonzalo; Kovacevic, Ivo; Schwartz, Eduardo S. - In: Energy economics 49 (2015), pp. 60-71

Persistent link: https://www.econbiz.de/10011536656

Theory of storage and the pricing of commodity claims

Nielsen, Martin J.; Schwartz, Eduardo S. - In: Review of derivatives research 7 (2004) 1, pp. 5-24

Persistent link: https://www.econbiz.de/10002012125

The stochastic behaviour of market variance implied in the price of index options

Franks, Julian R. - In: The economic journal : the journal of the Royal … 101 (1991) 409, pp. 1460-1475

Persistent link: https://www.econbiz.de/10001130690

The pricing of crude oil futures options contracts

Gibson, Rajna - In: Advances in futures and options research : a research annual 6 (1993), pp. 291-311

Persistent link: https://www.econbiz.de/10001145836

Theory of storage and the pricing of commodity claims

Nielsen, Martin J.; Schwartz, Eduardo S. - In: Five essays on commodity pricing, irreversible …, (pp. 5-28). 2002

Persistent link: https://www.econbiz.de/10001733699

Stochastic convenience yield and the pricing of oil contingent claims

Gibson, Rajna - In: The journal of finance : the journal of the American … 45 (1990) 3, pp. 956-976

Persistent link: https://www.econbiz.de/10001090931

The pricing of crude oil futures options contracts

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

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

Expected Returns on Oil Futures Etfs

Cortazar, Gonzalo; Ortega, Hector; Santa Maria, Joaquin; … - 2022

This paper develops a new methodology to estimate oil ETF returns using WTI futures prices and analysts’ forecasts. Futures prices are obtained from the New York Mercantile Exchange, and analysts’ forecasts from Bloomberg and the U.S. Energy Information Administration.We use the United...

Persistent link: https://www.econbiz.de/10014241060

The pricing of crude oil: futures contracts

Gibson, Rajna - 1990

Persistent link: https://www.econbiz.de/10013444274