A new approach for pricing commodity futures contracts
by Lourdes Gomez-Valle, Julia Martinez-Rodriguez
International Journal of Economics and Business Research (IJEBR), Vol. 1, No. 1, 2009

Abstract: In this article, we propose a new approach for pricing futures contracts more efficiently. We show that the coefficients of the pricing partial differential equation can be estimated directly from the data. We reduce the number of functions to be estimated as well as the computational cost. Finally, we carry out some numerical experiments.

Online publication date: Mon, 26-Jan-2009

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