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 …

This article describes a new approach to the valuation of commodity-contingent claims. The
approach uses all the information contained in the term structure of commodity futures prices …

The paper presents a model that determines when (at which output price level) it is optimum
for a firm to invest in environmental technologies and which are the main parameters that …

Publisher Summary This chapter presents a real options model for valuing natural resource
exploration investments when there is joint price and geological–technical uncertainty. Price …

In this paper we show how a multidimensional American real option may be solved using the
LSM simulation method originally proposed by Longstaff and Schwartz [2001, The Review …

This article studies the ability of an N‐factor Gaussian model to explain the stochastic
behavior of oil futures prices when estimated with the use of all available price information, as …

This article extends the option approach to valuing real assets by modeling the firm as a two-stage
process with bounded output rates, in which the output of the first stage may be held …

We present a no arbitrage model for evaluating an undeveloped oil field and its numerical
solution and implementation. The model assumes stochastic, but mean reverting, risk …

We present the results of implementing a real options model for valuing an investment project
that expands production capacity and/or modifies unit costs of a copper mine. The model …

In this article we develop and implement a model to value an undeveloped oil field and to
determine the optimal timing of investment. We assume a two factor model for the stochastic …