This paper develops a parsimonious three-factor model of the term structure of oil futures
prices that can be easily estimated from available futures price data. In addition, it proposes a …

This article describes a new approach to the valuation of commodity-contingent claims. The
approach uses all the information contained in the term structure of commodity futures prices …

… , 1997; Cortazar et al., … G(9.6) We can further simplify model implementation by assuming:
Z = SG (9.7) This is equivalent to assuming that an increase in any of the two factors (Sor G…

… In this paper we calibrate the Cortazar and Schwartz [7] … In particular, for the three-factor
Cortazar and Schwartz [7] model used in this paper, we have:(21) S = f ( x ) = h ′ x with h ′ = [ …

… The analytical framework used in this paper is closely related to the one in Cortazar and
Schwartz (1993). Even though both papers deal with optimal output levels, Cortazar and …

This article studies the ability of an N‐factor Gaussian model to explain the stochastic
behavior of oil futures prices when estimated with the use of all available price information, as …

We present a no arbitrage model for evaluating an undeveloped oil field and its numerical
solution and implementation. The model assumes stochastic, but mean reverting, risk …

This article extends the option approach to valuing real assets by modeling the firm as a two-stage
process with bounded output rates, in which the output of the first stage may be held …

… Smoller, 1995), by using a variable convenience yield that depends on the deviation of the
spot price to a long term average price for copper similar to the one used for oil in Cortazar …

In this article we develop and implement a model to value an undeveloped oil field and to
determine the optimal timing of investment. We assume a two factor model for the stochastic …