Explorations on the Commodity Futures Pricing with Unknown Parameters:an Expectation Oriented Approach

摘要：

we proposed an expectation-oriented approach to deals with the futures pricing in the presence of incomplete information.The expectation model can be considered as a kind of consistent expectation based on widely accepted futures pricing model.Furthermore,we show that the expected pricing function can be verified directly from the observed data.The proposed approach can be considered as an extension of those existing no-arbitrage approaches.We take it as a first step in pricing commodity futures under unknown parameters.

关键词： Commodity Futures Pricing Bias Unknown Parameters Expectation Formation

作者: Shulin Zhang Juanjuan Ding Shuping Wang

作者单位: College of Economics and Business Administration North China University of Technology Shijingshan Di College of Economics and Business Administration,North China University of Technology Shijingshan Di

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 598-602

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）