A new technique to estimate the risk-neutral processes in jump-diffusion commodity futures models

DOI10.1016/J.CAM.2015.12.028zbMATH Open1410.91484OpenAlexW2284300822MaRDI QIDQ313647FDOQ313647

J. Martínez-Rodríguez, Z. Habibilashkary, L. Gómez-Valle

Publication date: 12 September 2016

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.12.028

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zbMATH Keywords

nonparametric estimationnumerical differentiationcommodity futuresjump-diffusion stochastic processesrisk-neutral measure

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Numerical differentiation (65D25)

Cites Work

• Financial Modelling with Jump Processes
• Applied stochastic control of jump diffusions
• On the functional estimation of jump-diffusion models.
• Valuation of commodity derivatives in a new multi-factor model
• The role of the risk-neutral jump size distribution in single-factor interest rate models
• Advances in pricing commodity futures: multifactor models
• Title not available (Why is that?)
• Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models

Cited In (6)

• Modeling and Computation of CO₂Allowance Derivatives Under Jump-Diffusion Processes
• A multiplicative seasonal component in commodity derivative pricing
• Long-term swings and seasonality in energy markets
• The jump size distribution of the commodity spot price and its effect on futures and option prices
• The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes
• Editorial: Mathematical modeling and computational methods

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