حسین اسماعیلی رازی

حسین اسماعیلی رازی

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۱.

Pricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process(مقاله علمی وزارت علوم)

کلید واژه ها: futures contract spot price jump-diffusion Kalman Filter Oil futures

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تعداد بازدید : 956 تعداد دانلود : 462
Futures contract is one of the most important derivatives that is used in financial markets in all over the world to buy or sell an asset or commodity in the future. Pricing of this tool depends on expected price of asset or commodity at the maturity date. According to this, theoretical futures pricing models try to find this expected price in order to use in the futures contract. So in this article, three futures pricing models have been considered. In the first model, one-factor pricing model without spot price jump has been presented. In this model futures price of commodity is a function of spot price and remaining time to maturity. In the others, the models have been expanded by using jump-diffusion processes and stochastic jump in spot price. Then, to empirically study the models, NYMEX WTI crude oil futures price data has been used and parameters have been estimated with Kalman filter algorithm. The empirical results show that the one factor model with uniform jump is suitable to explain the crude oil spot price behavior and its futures price. This model and estimated parameters provide the useful tool to predict NYMEX WTI oil future prices.
۲.

Pricing of Futures Contracts by Considering Stochastic Exponential Jump Domain of Spot Price(مقاله علمی وزارت علوم)

کلید واژه ها: futures contract Pricing jump-diffusion Exponential Distribution

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تعداد بازدید : 845 تعداد دانلود : 480
Derivatives are alternative financial instruments which extend traders opportunities to achieve some financial goals. They are risk management instruments that are related to a data in the future, and also they react to uncertain prices. Study on pricing futures can provide useful tools to understand the stochastic behavior of prices to manage the risk of price volatility. Thus, this study evaluates commodity futures contracts by considering Ross (1995) one-factor future pricing model as a function of spot price, Gibson and Schwartz (1990) two-factor futures pricing model as a function of spot price and convenience yield and finally Schwartz (1997) three-factor futures pricing model as a function of spot price, convenience yield and instantaneous interest rate by adding jump to stochastic behavior of commodity spot price. For this purpose, it is assumed that spot price follows Jump-diffusion stochastic process with exponential probability distribution of jump domain. Finally, commodity pricing future relations in three basic models are presented as a function of above factor(s) and jump parameters by using Duffy-Pan-Singleton approach.  JEL Classification: G12, G13

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