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Pricing and Hedging of Long-term Futures and Forward Contracts by a Three-Factor Model
http://hdl.handle.net/2261/25750
http://hdl.handle.net/2261/25750c37de5cf-b313-4687-9489-e554411cf269
| Item type | テクニカルレポート / Technical Report(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2017-01-17 | |||||
| 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 | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||
| 資源タイプ | 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 |
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| 著者所属 | ||||||
| 値 | Mizuho-DL Financial Technology Co., Ltd. | |||||
| 著者所属 | ||||||
| 値 | University of Tokyo | |||||
| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | This paper shows pricing and hedging efficiency of a three factor stochastic mean reversion Gaussian model of commodity prices using oil and copper futures and forward contracts. The model is estimated using NYMEX WTI (light sweet crude oil) and LME Copper futures prices and is shown to fit the data well. Furthermore, it shows how to hedge based on a three-factor model and confirms that using three different futures contracts to hedge long-term contract outperforms the traditional parallel hedge based on a single futures position by time series data and simulation. It also finds that the three factor model outperforms its two-factor version in replication of actual term structures and that stochastic mean reversion models outperform constant mean reversion models in Out of Sample hedges. | |||||
| 内容記述 | ||||||
| 内容記述タイプ | Other | |||||
| 内容記述 | 本文フィルはリンク先を参照のこと | |||||
| 書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-618, 発行日 2009-04 |
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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Scheme | NDC | |||||
| 主題 | 335 | |||||
| 出版者 | ||||||
| 出版者 | 日本経済国際共同センター | |||||
| 出版者別名 | ||||||
| 値 | 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/2009/2009cf618ab.html | |||||
| 置換する | ||||||
| 関連タイプ | replaces | |||||
| 識別子タイプ | URI | |||||
| 関連識別子 | http://hdl.handle.net/2261/8057 | |||||
