A new approach for pricing commodity futures contracts

In this article, we propose a new approach for pricing futures contracts more efficiently. We show that the coefficients of the pricing partial differential equation can be estimated directly from the data. We reduce the number of functions to be estimated as well as the computational cost. Finally, we carry out some numerical experiments.

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Year of publication:	2009
Authors:	Gomez-Valle, Lourdes ; Martinez-Rodriguez, Julia
Published in:	International Journal of Economics and Business Research. - Inderscience Enterprises Ltd, ISSN 1756-9850. - Vol. 1.2009, 1, p. 109-117
Publisher:	Inderscience Enterprises Ltd
Subject:	economics \| Feynmanâ€“Kac solution \| stochastic process \| pricing \| commodity futures \| futures contracts \| partial differential equations \| PDE

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008755175