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

Stochastic models for the spot and future prices of commodities with high volatility and mean reversion

Victor Manuel García de la Vega and Antonio Ruiz-Porras

MPRA Paper from University Library of Munich, Germany

Abstract: 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.

Keywords: Real world; Risk Neutral world; mean reversion (search for similar items in EconPapers)
JEL-codes: G12 G13 (search for similar items in EconPapers)
Date: 2009-10-10
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https://mpra.ub.uni-muenchen.de/23177/1/MPRA_paper_23177.pdf original version (application/pdf)

Related works:
Journal Article: 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:pra:mprapa:23177

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