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PDF Availablehttps://doi.org/10.14403/jcms.2013.26.4.787
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Cite Publication Date: Nov 15, 2013 | |
 Citations: 1 |
Affiliation: Hannam University
In this paper we present one factor model of commodity prices with a single jump regime-switching process. And we derive an analytic formula for pricing futures contracts when the parameters of commoditiy process have governed by a Markov regime-switching process.
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