Subordinated affine structure models for commodity future prices
نویسندگان
چکیده
منابع مشابه
Option Pricing on Commodity Prices Using Jump Diffusion Models
In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...
متن کاملStochastic models for telecom commodity prices
Bandwidth is becoming commoditized and markets are starting to appear. Potential behaviors of these markets are not yet understood because these markets are still in the early stages of development. This is re¯ected in the lack of current research on the structure and dynamics of network commodity market prices. We present a method for constructing telecom commodity spot price processes as a ®r...
متن کاملDifferent scaling behaviors of commodity spot and future prices.
Classic studies of spot price fluctuations for commodities like cotton and wheat have been interpreted using a power-law probability distribution with exponent alpha inside the Lévy-stable regime (0<alpha<2). In contrast price fluctuations for stocks have been interpreted using a power-law probability distribution with alpha outside the Lévy-stable regime suggesting that stock prices are in a d...
متن کاملCommodity Prices and Growth∗
In this paper we propose an endogenous growth model of commodity-rich economies in which: (i) long-run (steady-state) growth is endogenous and yet independent of commodity prices; (ii) commodity prices affect short-run growth through transitional dynamics; and (iii) the status of net commodity importer/exporter is endogenous. We argue that these predictions are consistent with historical eviden...
متن کاملDeterminants of Commodity Prices
Financial returns, although seemingly unpredictable, have been successfully modelled using market and macro-economic factors. The effect of these factors, however, may vary with time and only be statistically significant for specific periods. This paper utilises factors that have been found to capture financial market returns and applies them to the modelling of a broad set of commodities. A ch...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Cogent Economics & Finance
سال: 2018
ISSN: 2332-2039
DOI: 10.1080/23322039.2018.1512360