Equilibrium Forward Curves For Commodities  

Oleh:

Seppi, Duane J. ; Routledge, Bryan R. ; Chester, S. Spatt

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 3 (2000), page 1297-1338.
Topik: equilibrium; studies; models; commodity prices; put & call options; equilibrium
Fulltext: p 1297.pdf (2.0MB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.2 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We develop an equilibrium model of the term structure of forward prices for storable commoditioes. As a consequence of a non negativity constraints on inventory, the spot commodity has an embedded timing option that is absent on forward contracts. This option's value changes over time due to both endogeneous inventory and exogenous transitory shocks to supply and demand. Our model makes predictions about volatilities of forward prices at different horizons and shows how conditional violations of the "samuelson effect" occur. We extend the model to incorporate a permanent second factor and calibrate the model to crude oil futures data.

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