دانلود مقاله ISI انگلیسی شماره 101676
کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
101676 2018 16 صفحه PDF سفارش دهید 8339 کلمه
خرید مقاله
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عنوان انگلیسی
A multiplicative seasonal component in commodity derivative pricing
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Computational and Applied Mathematics, Volume 330, 1 March 2018, Pages 835-847

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چکیده انگلیسی

In this paper, we focus on a seasonal jump–diffusion model to price commodity derivatives. We propose a novel approach to estimate the functions of the risk-neutral processes directly from data in the market, even when a closed-form solution for the model is not known. Then, this new approach is applied to price some natural gas derivative contracts traded at New York Mercantile Exchange (NYMEX). Moreover, we use nonparametric estimation techniques in order to avoid arbitrary restrictions on the model. After applying this approach, we find that a jump–diffusion model allowing for seasonality outperforms a standard jump–diffusion model to price natural gas futures. Furthermore, we also show that there are considerable differences in the option prices and the risk premium when we consider seasonality or not. These results have important implications for practitioners in the market.

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