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dc.contributor.authorGómez del Valle, María Lourdes 
dc.contributor.authorMartínez Rodríguez, Julia 
dc.contributor.authorHabibi Lashkari, Ziba
dc.date.accessioned2016-12-07T09:23:11Z
dc.date.available2016-12-07T09:23:11Z
dc.date.issued2017
dc.identifier.citationJournal of Computational and Applied Mathematics, 2017, vol. 309, p. 435–441es
dc.identifier.issn0377-0427es
dc.identifier.urihttp://uvadoc.uva.es/handle/10324/21461
dc.descriptionProducción Científicaes
dc.description.abstractIn 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.mimetypeapplication/pdfes
dc.language.isoenges
dc.publisherElsevieres
dc.rights.accessRightsinfo:eu-repo/semantics/openAccesses
dc.rights.urihttp://creativecommons.org/licenses/by-nd/4.0/
dc.subjectEconomía y empresaes
dc.titleA new technique to estimate the risk-neutral processes in jump–diffusion commodity futures modelses
dc.typeinfo:eu-repo/semantics/articlees
dc.identifier.doi10.1016/j.cam.2015.12.028es
dc.relation.publisherversionhttp://www.sciencedirect.comes
dc.identifier.publicationfirstpage436es
dc.identifier.publicationlastpage441es
dc.identifier.publicationtitleJournal of Computational and Applied Mathematicses
dc.identifier.publicationvolume309es
dc.peerreviewedSIes
dc.description.projectJunta de Castilla y León (programa de apoyo a proyectos de investigación – Ref. VA191U13)es
dc.rightsAttribution-NoDerivatives 4.0 International


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