| Registro completo |
| Provedor de dados: |
AgEcon
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| País: |
United States
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| Título: |
Pricing Commodity Options under Markov Regime Switching GARCH Processes
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| Autores: |
Wu, Feng
Guan, Zhengfei
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| Data: |
2010-05-03
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| Ano: |
2010
|
| Palavras-chave: |
Option Pricing
Markov Regime Switching GARCH
Demand and Price Analysis
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| Resumo: |
MS-GARCH option pricing model proposed in this paper accommodates new features of corn futures price movement in the era of biofuel production and therefore is more general. Our findings show that this new model will outperform models used in the existing literature both for the in-sample and out-of-sample option pricing fit.
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| Tipo: |
Conference Paper or Presentation
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| Idioma: |
Inglês
|
| Identificador: |
http://purl.umn.edu/61311
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| Relação: |
Agricultural and Applied Economics Association>2010 Annual Meeting, July 25-27, 2010, Denver, Colorado
Poster
11189
|
| Formato: |
2
|
