Implementing a stochastic model for oil futures prices

被引:112
作者
Cortazar, G
Schwartz, ES
机构
[1] Pontificia Univ Catolica Chile, Escuela Ingn, Dept Ingn Ind & Sist, Santiago, Chile
[2] Univ Calif Los Angeles, Anderson Sch, Los Angeles, CA 90095 USA
关键词
crude oil futures; stochastic behavior; model implementation;
D O I
10.1016/S0140-9883(02)00096-8
中图分类号
F [经济];
学科分类号
02 ;
摘要
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 new simple spreadsheet implementation procedure. The procedure is flexible, may be used with market prices of any oil contingent claim with closed form pricing solution, and easily deals with missing data problems. The approach is implemented using daily prices of all futures contracts traded at the New York Mercantile Exchange between 1991 and 2001. In-sample and out-of-sample tests indicate that the model fits the data extremely well. Though the paper concentrates on oil, the approach can be used for any other commodity with well-developed futures markets. (C) 2002 Elsevier Science B.V. All rights reserved.
引用
收藏
页码:215 / 238
页数:24
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