Stochastic Convenience Yield and the Pricing of Oil Contingent Claims
提出并实证检验了一个双因子模型，用于定价依赖于石油价格的金融和实物资产，因子为石油现货价格和瞬时便利收益。模型参数通过1984年1月至1988年11月的周度石油期货价格估计，并在1988年11月至1989年5月期间进行样本外检验，最后应用于计算未来1至10年交付的一桶石油的现值。
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.