RT info:eu-repo/semantics/article
T1 Estimating and pricing commodity futures with time‐delay stochastic processes
A1 Gómez del Valle, María Lourdes
A1 Martínez Rodríguez, Julia
K1 Commodity futures prices
K1 Delay stochastic processes
K1 Derivative securities
K1 Nonparametric estima-tion
K1 PDEs with randomness
K1 12 Matemáticas
K1 53 Ciencias Económicas
AB In commodity futures pricing models, the commodity present price is gener-ally considered to reflect all information in the markets and past information isnot regarded important. However, there is some empirical evidence that showsthat this fact is unrealistic. In this paper, we consider some stochastic mod-els with delay for pricing commodity futures. The functions of the commodityprice stochastic process under the risk-neutral measure are necessary for pricingderivatives. However, the observations in the market have risk. Then, we use atechnique that allows us to estimate the functions of the risk-neutral commodityspot price stochastic process, directly from futures prices traded in the market,and show how to price the commodity futures. Finally, we make an empiricalapplication of this methodology with gold futures traded in the COMEX. Fur-thermore, we make clear the supremacy of the delay models in pricing goldfutures.
PB Wiley
SN 0170-4214
YR 2023
FD 2023
LK https://uvadoc.uva.es/handle/10324/58865
UL https://uvadoc.uva.es/handle/10324/58865
LA eng
NO Mathematical Methods in the Applied Sciences, 2023.
NO Producción Científica
DS UVaDOC
RD 23-nov-2024