2024-03-29T15:35:40Zhttp://uvadoc.uva.es/oai/requestoai:uvadoc.uva.es:10324/214692021-06-23T10:07:46Zcom_10324_1146com_10324_931com_10324_894col_10324_1263
UVaDOC
author
Gómez del Valle, María Lourdes
author
Habibi Lashkari, Ziba
author
Martínez Rodríguez, Julia
2016-12-07T13:45:40Z
2016-12-07T13:45:40Z
2016
Modelling for Engineering and Human Behaviour 2015. Valencia. Universidad Politécnica de Valencia, Instituto Universitario de Matemática Multidisciplinar, 2016, p. 161-165
978-84-608-5355-8
http://uvadoc.uva.es/handle/10324/21469
161
165
Modelling for Engineering and Human Behaviour 2015
The estimation of the market prices of risk is an open question in the jumpdi
usion derivative literature when a closed-form solution for the future pricing
problem is not known. In this paper, we obtain some results that relate
the drifts and jump intensities of the risk-neutral processes with future and
spot prices. These results provide an original procedure to estimate the riskneutral
drifts and jump intensities. These functions are not observable but
their estimation is necessary for pricing commodity derivatives. Moreover,
this new approach avoids the estimation of the physical drift as well as the
market prices of risk in order to price commodity futures. Finally, an application
to NYMEX (New York Mercantile Exchange) data is illustrated.
eng
Attribution-NonCommercial-NoDerivatives 4.0 International
Economía y empresa
Valuation of commodity derivatives under jump-diffusion processes
info:eu-repo/semantics/bookPart
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
URL
https://uvadoc.uva.es/bitstream/10324/21469/1/Publicacionabstracten2016.pdf
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10eeab96ad741ea6d22a98b7500046f5
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Publicacionabstracten2016.pdf