Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media
AbstractThe 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. Keywords: real world, risk-neutral world, mean reversion.
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Bibliographic InfoArticle provided by Tecnológico de Monterrey, Campus Ciudad de México in its journal Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics).
Volume (Year): 3 (2009)
Issue (Month): 2 ()
Mundo real; Mundol Neutral al riesgo; Reversión a la Media;
Other versions of this item:
- García de la Vega, Victor Manuel & Ruiz-Porras, Antonio, 2009.
"Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media
[Stochastic models for the spot and future prices of commodities with high volatil," MPRA Paper 23177, University Library of Munich, Germany.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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