1 option
Equilibrium Exhaustible Resource Price Dynamics / Murray Carlson, Zeigham Khokher, Sheridan Titman.
- Format:
- Book
- Author/Creator:
- Carlson, Murray.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12000.
- NBER working paper series no. w12000
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- We develop equilibrium models of an exhaustible resource market where both prices and extraction choices are determined endogenously. Our analysis highlights a role for adjustment costs in generating price dynamics that are consistent with observed oil and gas forward prices as well as with the two-factor prices processes that were calibrated in Schwartz and Smith (2000). Stochastic volatility aries in our two-factor model as a natural consequence of production for oil and natural gas prices. Differences between the endogenous price processes considered in earlier papers can generate significant differences in both financial and real option values.
- Notes:
- Print version record
- February 2006.
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