کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5088399 | 1478309 | 2016 | 55 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Seasonal Stochastic Volatility: Implications for the pricing of commodity options
ترجمه فارسی عنوان
نوسانات احتمالی فصلی: پیامدهای قیمت گذاری گزینه های کالا
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper, the importance of seasonal behavior in the volatility for the pricing of commodity options is analyzed. We propose a seasonally varying long-run mean variance process that is capable of capturing empirically observed patterns. Semi-closed-form option valuation formulas are derived. We then empirically study the impact of the proposed Seasonal Stochastic Volatility Model on the pricing accuracy of natural gas futures options traded at the New York Mercantile Exchange (NYMEX) and corn futures options traded at the Chicago Board of Trade (CBOT). Our results demonstrate that allowing stochastic volatility to fluctuate seasonally significantly reduces pricing errors for these contracts.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 66, May 2016, Pages 53-65
Journal: Journal of Banking & Finance - Volume 66, May 2016, Pages 53-65
نویسندگان
Juan C. Arismendi, Janis Back, Marcel Prokopczuk, Raphael Paschke, Markus Rudolf,