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Pricing Commodity Options under Markov Regime Switching GARCH Processes

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  • Wu, Feng
  • Guan, Zhengfei

Abstract

MS-GARCH option pricing model proposed in this paper accommodates new features of corn futures price movement in the era of biofuel production and therefore is more general. Our findings show that this new model will outperform models used in the existing literature both for the in-sample and out-of-sample option pricing fit.

Suggested Citation

  • Wu, Feng & Guan, Zhengfei, 2010. "Pricing Commodity Options under Markov Regime Switching GARCH Processes," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado 61311, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea10:61311
    DOI: 10.22004/ag.econ.61311
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    Keywords

    Demand and Price Analysis;

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