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 volatility and mean reversion]
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.
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| Date of creation: | 10 Oct 2009 |
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| Handle: | RePEc:pra:mprapa:23177 |
| Contact details of provider: | Postal: Ludwigstraße 33, D-80539 Munich, Germany Phone: +49-(0)89-2180-2459 Fax: +49-(0)89-2180-992459 Web page: https://mpra.ub.uni-muenchen.de More information through EDIRC
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References listed on IDEAS
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- 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.
- 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.
- 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.
- 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.
- Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
- 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.
- Patrick Jaillet & Ehud I. Ronn & Stathis Tompaidis, 2004. "Valuation of Commodity-Based Swing Options," Management Science, INFORMS, vol. 50(7), pages 909-921, July.
- 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.
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