Authors: Lourdes Gomez-Valle, Julia Martinez-Rodriguez
Addresses: Departamento de Economia Aplicada (Matematicas), Universidad de Valladolid, Avenida del Valle Esgueva, 6, Valladolid 47011, Spain. ' Departamento de Economia Aplicada (Matematicas), Universidad de Valladolid, Avenida del Valle Esgueva, 6, Valladolid 47011, Spain
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.
Keywords: economics; Feynman–Kac solution; stochastic process; pricing; commodity futures; futures contracts; partial differential equations; PDE.
International Journal of Economics and Business Research, 2009 Vol.1 No.1, pp.109 - 117
Published online: 26 Jan 2009 *Full-text access for editors Access for subscribers Purchase this article Comment on this article