RT info:eu-repo/semantics/article
T1 A new technique to estimate the risk-neutral processes in jump–diffusion commodity futures models
A1 Gómez del Valle, María Lourdes
A1 Martínez Rodríguez, Julia
A1 Habibi Lashkari, Ziba
K1 Economía y empresa
AB 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.
PB Elsevier
SN 0377-0427
YR 2017
FD 2017
LK http://uvadoc.uva.es/handle/10324/21461
UL http://uvadoc.uva.es/handle/10324/21461
LA eng
NO Journal of Computational and Applied Mathematics, 2017, vol. 309,  p. 435–441
NO Producción Científica
DS UVaDOC
RD 22-dic-2024