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Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media

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  • García de la Vega, Víctor Manuel

    ()
    (FINALITICA)

  • Ruiz Porras, Antonio

    ()
    (Universidad de Guadalajara, CUCEA)

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. Keywords: real world, risk-neutral world, mean reversion.

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File URL: http://www.csf.itesm.mx/egade/publicaciones/articulos/Victor_Manuel.pdf
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Bibliographic Info

Article 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 ()
Pages: 1-24

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Handle: RePEc:ega:rafega:200907

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Web page: http://www.ccm.itesm.mx/egap/
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Keywords: Mundo real; Mundol Neutral al riesgo; Reversión a la Media;

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  1. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  2. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  3. Gibson, Rajna & Schwartz, Eduardo S, 1990. " Stochastic Convenience Yield and the Pricing of Oil Contingent Claims," Journal of Finance, American Finance Association, vol. 45(3), pages 959-76, July.
  4. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
  5. Schwartz, Eduardo S, 1997. " The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging," Journal of Finance, American Finance Association, vol. 52(3), pages 923-73, July.
  6. Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
  7. Cox, John C. & Ross, Stephen A., 1976. "The valuation of options for alternative stochastic processes," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 145-166.
  8. Bessembinder, Hendrik, et al, 1995. " Mean Reversion in Equilibrium Asset Prices: Evidence from the Futures Term Structure," Journal of Finance, American Finance Association, vol. 50(1), pages 361-75, March.
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