Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media
The pricing of commodity derivatives requires that the underlying asset be modeled with mean reversion and high volatility. We develop closed form formulas to price the spot of a commodity, futures and call options on the spot and on commodity futures in the real world and under risk neutrality, by using a one factor model
Volume (Year): 3 (2009)
Issue (Month): 2 ()
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