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Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model
http://hdl.handle.net/2261/8057
http://hdl.handle.net/2261/8057c26a6435-3790-4656-b332-95f010df1a83
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2017-01-05 | |||||
タイトル | ||||||
タイトル | Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Shiraya, Kenichiro
× Shiraya, Kenichiro× Takahashi, Akihiko |
|||||
著者所属 | ||||||
著者所属 | Mizuho-DL Financial Technology Co., Ltd. | |||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, the University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper proposes a new three-factor model with stochastic mean reversions for commodity prices and derives the closed-form solution for the term structure of futures prices. Moreover, it confirms that the prices of crude oil and copper futures prices estimated by our model replicate the observed ones very well. Finally, detailed performance analysis of hedging illiquid long-term futures and forwards with liquid short and medium-term futures shows the validity of our method. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文ファイルはリンク先を参照のこと | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | Revised in December 2007. | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-529, 発行日 2007-11 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2007/2007cf529ab.html | |||||
置換される | ||||||
関連タイプ | isReplacedBy | |||||
識別子タイプ | URI | |||||
関連識別子 | http://hdl.handle.net/2261/25750 |