Molalign Adam

Bahir Dar University, Department of Mathematics, Bahir Dar, Ethiopia

[ 1 ] - 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...

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