Modelos Estocásticos para el Precio Spot y del Futuro de Commodities con Alta Volatilidad y Reversión a la Media

Víctor Manuel García de la Vega () and Antonio Ruiz-Porras
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Víctor Manuel García de la Vega: FINALITICA, S.A. de C.V

Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), 2009, vol. 3, issue 2, 1-24

Abstract: The pricing of commodity derivatives requires that the underlying asset be modeled with mean reversion and high volatility. We develop closed form formulas to price the spot of a commodity, futures and call options on the spot and on commodity futures in the real world and under risk neutrality, by using a one factor model

Keywords: Mundo real; Mundo Neutral al riesgo; Reversión a la Media (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2009
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Working Paper: Modelos estocásticos para el precio spot y del futuro de commodities con alta volatilidad y reversión a la media (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:ega:rafega:200907

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