Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/47582
Authors: 
Bühler, Wolfgang
Korn, Olaf
Schöbel, Rainer
Year of Publication: 
2000
Series/Report no.: 
Tübinger Diskussionsbeiträge 190
Abstract: 
We develop and empirically test a continuous time equilibrium model for the pricing of oil futures. The model provides a link between no-arbitrage models and expectation oriented models. It highlights the role of sufficient inventories for oil futures pricing and for the explanation of backwardation and contango situations. In an empirical study the hedging performance of our model is compared with five other one- and two-factor pricing models. The hedging problem considered is related to Metallgesellschaft's strategy to hedge long-term forward commitments with short-term futures. The results show that the downside risk distribution of our inventory based model stochastically dominates those of the other models.
Subjects: 
oil futures
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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