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文章基本信息

  • 标题:Pricing Commodity Options under Markov Regime Switching GARCH Processes
  • 本地全文:下载
  • 作者:Wu, Feng ; Guan, Zhengfei
  • 期刊名称:Journal of Food Distribution Research
  • 印刷版ISSN:0047-245X
  • 出版年度:2010
  • 卷号:SUPPL
  • 出版社:Food Distribution Research Society
  • 摘要: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.
  • 关键词:Option Pricing;Markov Regime Switching GARCH
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