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dc.contributor.author | Gómez del Valle, María Lourdes | |
dc.contributor.author | Martínez Rodríguez, Julia | |
dc.contributor.author | Habibi Lashkari, Ziba | |
dc.date.accessioned | 2016-12-07T09:23:11Z | |
dc.date.available | 2016-12-07T09:23:11Z | |
dc.date.issued | 2017 | |
dc.identifier.citation | Journal of Computational and Applied Mathematics, 2017, vol. 309, p. 435–441 | es |
dc.identifier.issn | 0377-0427 | es |
dc.identifier.uri | http://uvadoc.uva.es/handle/10324/21461 | |
dc.description | Producción Científica | es |
dc.description.abstract | In order to price commodity derivatives, it is necessary to estimate the market prices of risk as well as the functions of the stochastic processes of the factors in the model. However, the estimation of the market prices of risk is an open question in the jump–diffusion derivative literature when a closed-form solution is not known. In this paper, we propose a novel approach for estimating the functions of the risk-neutral processes directly from market data. 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. More precisely, we obtain some results that relate the risk-neutral drifts, volatilities and parameters of the jump amplitude distributions with market data. Finally, we examine the accuracy of the proposed method with NYMEX (New York Mercantile Exchange) data and we show the benefits of using jump processes for modelling the commodity price dynamics in commodity futures models. | es |
dc.format.mimetype | application/pdf | es |
dc.language.iso | eng | es |
dc.publisher | Elsevier | es |
dc.rights.accessRights | info:eu-repo/semantics/openAccess | es |
dc.rights.uri | http://creativecommons.org/licenses/by-nd/4.0/ | |
dc.subject | Economía y empresa | es |
dc.title | A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models | es |
dc.type | info:eu-repo/semantics/article | es |
dc.identifier.doi | 10.1016/j.cam.2015.12.028 | es |
dc.relation.publisherversion | http://www.sciencedirect.com | es |
dc.identifier.publicationfirstpage | 436 | es |
dc.identifier.publicationlastpage | 441 | es |
dc.identifier.publicationtitle | Journal of Computational and Applied Mathematics | es |
dc.identifier.publicationvolume | 309 | es |
dc.peerreviewed | SI | es |
dc.description.project | Junta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA191U13) | es |
dc.rights | Attribution-NoDerivatives 4.0 International |
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