Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media

The pricing of commodity derivatives requires that the underlying asset be modelled with mean reversion and high volatility. We develop closed formulas to price the spot of the commodity, its future, and to price a call option on the spot and on the commodity future, in the real world and under risk neutrality, by using a 1 factor model.

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Alternative title:	Stochastic models for the spot and future prices of commodities with high volatility and mean reversion
Year of publication:	2009-10-10
Authors:	Vega, García de la ; Manuel, Victor ; Ruiz-Porras, Antonio
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Real world \| Risk Neutral world \| mean reversion

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008568343