Pricing Commodity Options under Markov Regime Switching GARCH Processes

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.


Issue Date:
2010
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/61311
Total Pages:
2
Series Statement:
Poster
11189




 Record created 2017-04-01, last modified 2017-04-26

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