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Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media

By Victor Manuel García de la Vega and Antonio Ruiz-Porras

Abstract

The pricing of commodity derivatives requires that the underlying asset be modelled with mean reversion and high volatility. We develop closed formulas to price the spot of the commodity, its future, and to price a call option on the spot and on the commodity future, in the real world and under risk neutrality, by using a 1 factor model.

Topics: G12 - Asset Pricing; Trading volume; Bond Interest Rates, G13 - Contingent Pricing; Futures Pricing
Year: 2009
OAI identifier: oai:mpra.ub.uni-muenchen.de:23177

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