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Alternative Models of Uncertain Commodity Prices for Use with Modern Asset Pricing Methods

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Cited by:

  1. Chen, Shan & Insley, Margaret, 2012. "Regime switching in stochastic models of commodity prices: An application to an optimal tree harvesting problem," Journal of Economic Dynamics and Control, Elsevier, vol. 36(2), pages 201-219.
  2. Sadeghi, Mehdi & Shavvalpour, Saeed, 2006. "Energy risk management and value at risk modeling," Energy Policy, Elsevier, vol. 34(18), pages 3367-3373, December.
  3. Neil A. Wilmot and Charles F. Mason, 2013. "Jump Processes in the Market for Crude Oil," The Energy Journal, International Association for Energy Economics, vol. 0(Number 1).
  4. Mason, Charles F. & Wilmot, Neil A., 2016. "Price discontinuities in the market for RINs," Journal of Economic Behavior & Organization, Elsevier, vol. 132(PB), pages 79-97.
  5. Abadie, Luis M. & Chamorro, José M., 2008. "Valuing flexibility: The case of an Integrated Gasification Combined Cycle power plant," Energy Economics, Elsevier, vol. 30(4), pages 1850-1881, July.
  6. Taylor-de-Lima, Reynaldo L.N. & Gerbasi da Silva, Arthur José & Legey, Luiz F.L. & Szklo, Alexandre, 2018. "Evaluation of economic feasibility under uncertainty of a thermochemical route for ethanol production in Brazil," Energy, Elsevier, vol. 150(C), pages 363-376.
  7. Celine de Quatrebarbes & Bertrand Laporte, 2015. "What do we know about the mineral resource rent sharing in Africa?," CERDI Working papers halshs-01146279, HAL.
  8. Mason, Charles F. & Wilmot, Neil A., 2020. "Jumps in the convenience yield of crude oil," Resource and Energy Economics, Elsevier, vol. 60(C).
  9. Maslyuk, Svetlana & Smyth, Russell, 2008. "Unit root properties of crude oil spot and futures prices," Energy Policy, Elsevier, vol. 36(7), pages 2591-2600, July.
  10. Robert S. Pindyck, 1999. "The Long-Run Evolutions of Energy Prices," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 1-27.
  11. Kostrova, Alisa & Britz, Wolfgang & Finger, Robert & Djanibekov, Utkur, 2016. "Real Options Approach And Stochastic Programming In Farm Level Analysis: The Case Of Short-Rotation Coppice Cultivation," 56th Annual Conference, Bonn, Germany, September 28-30, 2016 244864, German Association of Agricultural Economists (GEWISOLA).
  12. Alvarez-Ramirez, Jose & Rodriguez, Eduardo & Echeverria, Juan Carlos & Puebla, Hector, 2008. "Correlation analysis of chaotic trajectories from Chua’s system," Chaos, Solitons & Fractals, Elsevier, vol. 36(5), pages 1157-1169.
  13. Emhjellen, Magne & Alaouze, Chris M., 2003. "A comparison of discounted cashflow and modern asset pricing methods--project selection and policy implications," Energy Policy, Elsevier, vol. 31(12), pages 1213-1220, September.
  14. Simshauser, Paul, 2020. "Merchant renewables and the valuation of peaking plant in energy-only markets," Energy Economics, Elsevier, vol. 91(C).
  15. Babak Jafarizadeh & Reidar B. Bratvold, 2021. "Project Valuation: Price Forecasts Bound to Discount Rates," Decision Analysis, INFORMS, vol. 18(2), pages 139-152, June.
  16. Luis M. Abadie & José M. Chamorro, 2009. "Monte Carlo valuation of natural gas investments," Review of Financial Economics, John Wiley & Sons, vol. 18(1), pages 10-22, January.
  17. G. Guthrie, 2021. "Adapting to Rising Sea Levels: How Short-Term Responses Complement Long-Term Investment," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 78(4), pages 635-668, April.
  18. Baghestani, Hamid, 2015. "Predicting gasoline prices using Michigan survey data," Energy Economics, Elsevier, vol. 50(C), pages 27-32.
  19. Gronwald, Marc, 2012. "A characterization of oil price behavior — Evidence from jump models," Energy Economics, Elsevier, vol. 34(5), pages 1310-1317.
  20. Mark W. French, 2005. "Why and when do spot prices of crude oil revert to futures price levels?," Finance and Economics Discussion Series 2005-30, Board of Governors of the Federal Reserve System (U.S.).
  21. Laporte, Bertrand & de Quatrebarbes, Céline, 2015. "What do we know about the sharing of mineral resource rent in Africa?," Resources Policy, Elsevier, vol. 46(P2), pages 239-249.
  22. Guedes, José & Santos, Pedro, 2016. "Valuing an offshore oil exploration and production project through real options analysis," Energy Economics, Elsevier, vol. 60(C), pages 377-386.
  23. Tatiana Ponomarenko & Eugene Marin & Sergey Galevskiy, 2022. "Economic Evaluation of Oil and Gas Projects: Justification of Engineering Solutions in the Implementation of Field Development Projects," Energies, MDPI, vol. 15(9), pages 1-22, April.
  24. Abadie, Luis M. & Chamorro, José M., 2009. "Monte Carlo valuation of natural gas investments," Review of Financial Economics, Elsevier, vol. 18(1), pages 10-22, January.
  25. Moghimi Ghadikolaei, Hadi & Ahmadi, Abdollah & Aghaei, Jamshid & Najafi, Meysam, 2012. "Risk constrained self-scheduling of hydro/wind units for short term electricity markets considering intermittency and uncertainty," Renewable and Sustainable Energy Reviews, Elsevier, vol. 16(7), pages 4734-4743.
  26. Ethier, Robert G., 1999. "Valuing Electricity Assets In Deregulated Markets: A Real Options Model With Mean Reversion And Jumps," Working Papers 7222, Cornell University, Department of Applied Economics and Management.
  27. Bernabe, Araceli & Martina, Esteban & Alvarez-Ramirez, Jose & Ibarra-Valdez, Carlos, 2004. "A multi-model approach for describing crude oil price dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 338(3), pages 567-584.
  28. Ghoshray, Atanu & Johnson, Ben, 2010. "Trends in world energy prices," Energy Economics, Elsevier, vol. 32(5), pages 1147-1156, September.
  29. Mason, Charles F. & A. Wilmot, Neil, 2014. "Jump processes in natural gas markets," Energy Economics, Elsevier, vol. 46(S1), pages 69-79.
  30. Carolina Effio Saldivar & José Herskovits & Juan Pablo Luna & Claudia Sagastizábal, 2019. "Multidimensional Calibration Of Crude Oil And Refined Products Via Semidefinite Programming Techniques," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(01), pages 1-31, February.
  31. Pless, Jacquelyn & Arent, Douglas J. & Logan, Jeffrey & Cochran, Jaquelin & Zinaman, Owen, 2016. "Quantifying the value of investing in distributed natural gas and renewable electricity systems as complements: Applications of discounted cash flow and real options analysis with stochastic inputs," Energy Policy, Elsevier, vol. 97(C), pages 378-390.
  32. Robert S. Pindyck, 2001. "The Dynamics of Commodity Spot and Futures Markets: A Primer," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3), pages 1-30.
  33. Guy Dabi Gab-Leyba & Bertrand Laporte, 2015. "Oil Contracts, Progressive Taxation and Government Take in the Context of Uncertainty in Crude Oil Prices: The Case of Chad," Working Papers halshs-01217417, HAL.
  34. Nomikos, Nikos & Andriosopoulos, Kostas, 2012. "Modelling energy spot prices: Empirical evidence from NYMEX," Energy Economics, Elsevier, vol. 34(4), pages 1153-1169.
  35. Shafiee, Shahriar & Topal, Erkan, 2010. "A long-term view of worldwide fossil fuel prices," Applied Energy, Elsevier, vol. 87(3), pages 988-1000, March.
  36. Arturo Lorenzo-Valdés, 2021. "Conditional Probability of Jumps in Oil Prices," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(4), pages 1-14, Octubre -.
  37. Hjalmarsson, Erik, 2003. "Does the Black-Scholes formula work for electricity markets? A nonparametric approach," Working Papers in Economics 101, University of Gothenburg, Department of Economics.
  38. Abadie, Luis M. & Chamorro, José M., 2008. "European CO2 prices and carbon capture investments," Energy Economics, Elsevier, vol. 30(6), pages 2992-3015, November.
  39. Katia Rocha & Marco Antonio Guimarães Dias & José Paulo Teixeira, 2015. "The Timing of Development and the Optimal Production Scale: a Real Option Approach to Oilfield E&P," Discussion Papers 0126, Instituto de Pesquisa Econômica Aplicada - IPEA.
  40. Derek M. Lemoine, 2010. "Valuing Plug-In Hybrid Electric Vehicles’ Battery Capacity Using a Real Options Framework," The Energy Journal, , vol. 31(2), pages 113-144, April.
  41. Marco Antônio Guimarães Dias & Katia Maria Carlos Rocha, 2015. "Petroleum Concessions with Extendible Options: Investment Timing and Value Using Mean Reversion and Jump Processes for Oil Prices," Discussion Papers 0082, Instituto de Pesquisa Econômica Aplicada - IPEA.
  42. Elias, R.S. & Wahab, M.I.M. & Fang, L., 2016. "The spark spread and clean spark spread option based valuation of a power plant with multiple turbines," Energy Economics, Elsevier, vol. 59(C), pages 314-327.
  43. Bernard, Jean-Thomas & Khalaf, Lynda & Kichian, Maral & McMahon, Sébastien, 2008. "Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield," Cahiers de recherche 0801, GREEN.
  44. Kaffel, Bilel & Abid, Fathi, 2009. "A methodology for the choice of the best fitting continuous-time stochastic models of crude oil price," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 971-1000, August.
  45. Marc Gronwald, 2009. "Jumps in Oil Prices- Evidence and Implications," ifo Working Paper Series 75, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
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