Journal of the Chungcheong Mathematical Society (충청수학회지)

The Chungcheong Mathematical Society (충청수학회)
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PRICING COMMODITY FUTURES CONTRACTS WITH A REGIME-SWITCHING MODEL

  • Received : 2013.08.01
  • Accepted : 2013.10.11
  • Published : 2013.11.15
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Abstract

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.

Keywords

References

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Cited by

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