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Document Type

Dissertation - University Access Only

Award Date

2014

Degree Name

Doctor of Philosophy (PhD)

Department

Mathematics and Statistics

First Advisor

Jung Han Kimn

Abstract

This dissertation research consists of two chapters which focus on different topics of computational finance. The first chapter introduces an original comprehensive model with an added Poisson jump term for agricultural futures. This model combines features of agricultural futures prices which were previously only dealt with in a separate manner. Model parameters are estimated using a new method not previously employed in the study of agricultural futures and options. The results indicate that the comprehensive model with the jump term is superior to the model without the jump term. The second chapter studies agricultural calendar spread options (CSO) which are relatively new products. These options allow grain producers and consumers to hedge their futures positions. The models studied inlude a stochastic volatility (SV) model. The unique nature of the option requires a two-dimensional option pricing formula. Also, to ensure timely parameter estimation, we employed the use of a graphical processing unit (GPU) in order to utilize its parallel processing power. Results from this research indicate that the CSO is extremely well-modeled with the SV model which produces the very low errors.

Library of Congress Subject Headings

Farm produce -- Prices
Agricultural prices
Commodity options
Commodity futures

Description

Includes bibliographical references (pages 75-80)

Format

application/pdf

Number of Pages

112

Publisher

South Dakota State University

Rights

In Copyright - Non-Commercial Use Permitted
http://rightsstatements.org/vocab/InC-NC/1.0/

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