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Cited by 1,057

The DOI matches its Crossref record.

Stochastic Convenience Yield and the Pricing of Oil Contingent Claims

GIBSON, RAJNA, SCHWARTZ, EDUARDO S.·1990·The Journal of Finance
DOI 10.1111/j.1540-6261.1990.tb05114.x
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Abstract

This paper develops and empirically tests a two‐factor model for pricing financial and real assets contingent on the price of oil. The factors are the spot price of oil and the instantaneous convenience yield. The parameters of the model are estimated using weekly oil futures contract prices from January 1984 to November 1988, and the model's performance is assessed out of sample by valuing futures contracts over the period November 1988 to May 1989. Finally, the model is applied to determine the present values of one barrel of oil deliverable in one to ten years time.

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Metadata

Authors
GIBSON, R., & SCHWARTZ, E. S.
Venue
The Journal of Finance
Publisher
Wiley
Published
1990-07
Volume
45
Issue
3
Pages
959-976
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1990.tb05114.x
OpenAlex
W2089240053
Cited by
1,057
References
0
FWCI
10.10
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Stochastic Convenience Yield and the Pricing of Oil Contingent Claims. https://app.cochat.ai/papers/10.1111/j.1540-6261.1990.tb05114.x
The paper
GIBSON, R., & SCHWARTZ, E. S. (1990). Stochastic Convenience Yield and the Pricing of Oil Contingent Claims. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1990.tb05114.x

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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.