A new approach for pricing commodity futures contracts

Lourdes Gomez-Valle and Julia Martinez-Rodriguez

International Journal of Economics and Business Research, 2009, vol. 1, issue 1, 109-117

Abstract: 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.

Keywords: economics; Feynman–Kac solution; stochastic process; pricing; commodity futures; futures contracts; partial differential equations; PDE. (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:ids:ijecbr:v:1:y:2009:i:1:p:109-117

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