메뉴 건너뛰기




Volumn 46, Issue 7, 2000, Pages 893-911

Short-term variations and long-term dynamics in commodity prices

Author keywords

[No Author keywords available]

Indexed keywords

COMMERCE; CONTRACTS; COSTS; MATHEMATICAL MODELS; RANDOM PROCESSES;

EID: 0034229554     PISSN: 00251909     EISSN: None     Source Type: Journal    
DOI: 10.1287/mnsc.46.7.893.12034     Document Type: Article
Times cited : (728)

References (28)
  • 2
    • 0000532793 scopus 로고
    • Numerical evaluation of multivariate contingent claims
    • Boyle, P. B., J. Envine, S. Gibbs. 1989. Numerical evaluation of multivariate contingent claims. Rev. financial Stud. 2 241-250.
    • (1989) Rev. Financial Stud. , vol.2 , pp. 241-250
    • Boyle, P.B.1    Envine, J.2    Gibbs, S.3
  • 4
    • 0001603924 scopus 로고
    • Evaluating natural resource investments
    • _, E. S. Schwartz. 1985. Evaluating natural resource investments. J. Bus. 58 135-157.
    • (1985) J. Bus. , vol.58 , pp. 135-157
    • Schwartz, E.S.1
  • 5
    • 0002108996 scopus 로고
    • The evaluation of commodity contingent claims
    • Cortazar, G., E. S. Schwartz. 1994. The evaluation of commodity contingent claims. J. Derivatives 1 27-39.
    • (1994) J. Derivatives , vol.1 , pp. 27-39
    • Cortazar, G.1    Schwartz, E.S.2
  • 6
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • Cox, J. C., J. E. Ingersoll, S. A. Ross. 1985. An intertemporal general equilibrium model of asset prices. Econometrica 53 363-384.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 9
    • 85037787114 scopus 로고
    • Office of Oil and Gas, U.S. Department of Energy, Washington, D.C.
    • Energy Information Administration. 1994. Petroleum Marketing Annual 1993. Office of Oil and Gas, U.S. Department of Energy, Washington, D.C.
    • (1994) Petroleum Marketing Annual 1993
  • 10
    • 85037798777 scopus 로고
    • Office of Oil and Gas, U.S. Department of Energy, Washington, D.C.
    • Energy Information Administration. 1995. Petroleum Marketing Annual 1994. Office of Oil and Gas, U.S. Department of Energy, Washington, D.C.
    • (1995) Petroleum Marketing Annual 1994
  • 11
    • 84977738249 scopus 로고
    • Stochastic convenience yield and the pricing of oil contingent claims
    • Gibson, R., E. S. Schwartz. 1990. Stochastic convenience yield and the pricing of oil contingent claims. J. Finance 45 959-976.
    • (1990) J. Finance , vol.45 , pp. 959-976
    • Gibson, R.1    Schwartz, E.S.2
  • 14
    • 21344497782 scopus 로고
    • Reversion, timing options, and long-term decision making
    • Laughton, D. G., Henry D. Jacoby. 1993. Reversion, timing options, and long-term decision making. Financial Management 33 225-240.
    • (1993) Financial Management , vol.33 , pp. 225-240
    • Laughton, D.G.1    Jacoby, H.D.2
  • 15
    • 0008266420 scopus 로고
    • The effects of reversion on commodity projects of different length
    • L. Trigeorgis, ed. Praeger, Westport, CT
    • _, _. 1995. The effects of reversion on commodity projects of different length. L. Trigeorgis, ed. Real Options in Capital Investment: Models, Strategies and Applications. Praeger, Westport, CT. 185-205.
    • (1995) Real Options in Capital Investment: Models, Strategies and Applications , pp. 185-205
  • 16
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R. C. 1973. An intertemporal capital asset pricing model. Econometrica 41 867-887.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 17
    • 84959850844 scopus 로고
    • Option valuation of claims on real assets: The case of offshore petroleum leases
    • Paddock, J. L., D. R. Siegel, J. L. Smith. 1988. Option valuation of claims on real assets: The case of offshore petroleum leases. Quart. J. Econom. 103 479-503.
    • (1988) Quart. J. Econom. , vol.103 , pp. 479-503
    • Paddock, J.L.1    Siegel, D.R.2    Smith, J.L.3
  • 19
    • 85077374580 scopus 로고
    • Inventories and the short-run dynamics of commodity prices
    • Pindyck, R. S. 1993. Inventories and the short-run dynamics of commodity prices. Rand J. Econom. 25 141-159.
    • (1993) Rand J. Econom. , vol.25 , pp. 141-159
    • Pindyck, R.S.1
  • 20
    • 0343622011 scopus 로고    scopus 로고
    • Working Paper, Massachusetts Institute of Technology, Cambridge, MA
    • _. 1997. The long-run dynamics of commodity prices. Working Paper, Massachusetts Institute of Technology, Cambridge, MA.
    • (1997) The Long-run Dynamics of Commodity Prices
  • 21
    • 0040409744 scopus 로고    scopus 로고
    • Hedging long run commitments: Exercises in incomplete market pricing
    • Ross, S. 1997. Hedging long run commitments: Exercises in incomplete market pricing. Banca Monte Econom. Notes 26 99-132.
    • (1997) Banca Monte Econom. Notes , vol.26 , pp. 99-132
    • Ross, S.1
  • 22
    • 0039594868 scopus 로고    scopus 로고
    • Equilibrium forward curves for commodities
    • Routledge, B. R., D. J. Seppi, C. S. Spatt. 1999. Equilibrium forward curves for commodities. J. Finance 55 1297-1338.
    • (1999) J. Finance , vol.55 , pp. 1297-1338
    • Routledge, B.R.1    Seppi, D.J.2    Spatt, C.S.3
  • 23
    • 0042189284 scopus 로고
    • Review of investment under uncertainty
    • A. K. Dixit, R. S. Pindyck
    • Schwartz, E. S. 1995. Review of Investment Under Uncertainty. A. K. Dixit, R. S. Pindyck. J. Finance 50 1924-1928.
    • (1995) J. Finance , vol.50 , pp. 1924-1928
    • Schwartz, E.S.1
  • 24
    • 0000792991 scopus 로고    scopus 로고
    • The stochastic behavior of commodity prices: Implications for valuation and hedging
    • _. 1997. The stochastic behavior of commodity prices: Implications for valuation and hedging. J. Finance 52 923-973.
    • (1997) J. Finance , vol.52 , pp. 923-973
  • 25
    • 0032395056 scopus 로고    scopus 로고
    • Valuing long term commodity assets
    • _. 1998. Valuing long term commodity assets. Financial Management 27 57-66.
    • (1998) Financial Management , vol.27 , pp. 57-66
  • 26
    • 0032021949 scopus 로고    scopus 로고
    • Valuing oil properties: Integrating option pricing and decision analysis approaches
    • Smith, J. E., K. F. McCardle. 1998. Valuing oil properties: Integrating option pricing and decision analysis approaches. Oper. Res. 46 198-217.
    • (1998) Oper. Res. , vol.46 , pp. 198-217
    • Smith, J.E.1    McCardle, K.F.2
  • 27
    • 0003316318 scopus 로고    scopus 로고
    • Options in the real world: Lessons learned in evaluating oil and gas investments
    • _, _. 1999. Options in the real world: Lessons learned in evaluating oil and gas investments. Oper. Res. 47 1-15.
    • (1999) Oper. Res. , vol.47 , pp. 1-15


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.