충청수학회지 (Journal of the Chungcheong Mathematical Society)

  • 제26권4호
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  • Pages.787-791
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  • 2013
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  • 1226-3524(pISSN)
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  • 2383-6245(eISSN)
충청수학회 (The Chungcheong Mathematical Society)
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PRICING COMMODITY FUTURES CONTRACTS WITH A REGIME-SWITCHING MODEL

  • 투고 : 2013.08.01
  • 심사 : 2013.10.11
  • 발행 : 2013.11.15
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초록

In this paper we present one factor model of commodity prices with a single jump regime-switching process. And we derive an analytic formula for pricing futures contracts when the parameters of commoditiy process have governed by a Markov regime-switching process.

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참고문헌

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  2. K. Choi and Sh. Hammoudeh, Volatility behavior of oil, industrial commod-ity and stock markets in a regime-switching envirionment, Energy Policy 38 (2010), 4388-4399. https://doi.org/10.1016/j.enpol.2010.03.067
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  5. K. Roh, Variance swap pricing with a regime-switching market environment, Manage. Sci. and Fin. Eng. 19 (2013), 49-52.
  6. E. S. Schwartz, The stochastic behavior of commodity prices: implicaions for valuation and hedging, J. Fin. 52 (1997), 923-973. https://doi.org/10.1111/j.1540-6261.1997.tb02721.x
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피인용 문헌

  1. PRICING MULTI-ASSET DERIVATIVES WITH REGIME-SWITCHING VOLATILITIES vol.27, pp.2, 2014, https://doi.org/10.14403/jcms.2014.27.2.237