Pricing Commodity Options under Markov Regime Switching GARCH Processes

Feng Wu and Zhengfei Guan

No 61311, 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado from Agricultural and Applied Economics Association

Abstract: MS-GARCH option pricing model proposed in this paper accommodates new features of corn futures price movement in the era of biofuel production and therefore is more general. Our findings show that this new model will outperform models used in the existing literature both for the in-sample and out-of-sample option pricing fit.

Keywords: Demand; and; Price; Analysis (search for similar items in EconPapers)
Pages: 2
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea10:61311

DOI: 10.22004/ag.econ.61311

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