RT info:eu-repo/semantics/bookPart
T1 Valuation of commodity derivatives under jump-diffusion processes
A1 Gómez del Valle, María Lourdes
A1 Habibi Lashkari, Ziba
A1 Martínez Rodríguez, Julia
K1 Economía y empresa
AB 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 pricingproblem is not known. In this paper, we obtain some results that relatethe drifts and jump intensities of the risk-neutral processes with future andspot prices. These results provide an original procedure to estimate the riskneutraldrifts and jump intensities. These functions are not observable buttheir estimation is necessary for pricing commodity derivatives. Moreover,this new approach avoids the estimation of the physical drift as well as themarket prices of risk in order to price commodity futures. Finally, an applicationto NYMEX (New York Mercantile Exchange) data is illustrated.
PB Universidad Politécnica de Valencia
SN 978-84-608-5355-8
YR 2016
FD 2016
LK http://uvadoc.uva.es/handle/10324/21469
UL http://uvadoc.uva.es/handle/10324/21469
LA eng
NO Modelling for Engineering and Human Behaviour 2015. Valencia. Universidad Politécnica de Valencia, Instituto Universitario de Matemática Multidisciplinar,  2016, p. 161-165
NO Producción Científica
DS UVaDOC
RD 24-abr-2024