Modeling futures price dynamics on the RTS and MICEX indices

D. Yu. Golembiovsky; D. V. Denisov; A. S. Petrovykh

doi:10.3103/S027864191604004X

Modeling futures price dynamics on the RTS and MICEX indices

作者: Golembiovsky D.Y.¹, Denisov D.V.¹, Petrovykh A.S.¹
隶属关系:
1. Faculty of Computational Mathematics and Cybernetics
期: 卷 40, 编号 4 (2016)
页面: 171-178
栏目: Article
URL: https://journals.rcsi.science/0278-6419/article/view/176154
DOI: https://doi.org/10.3103/S027864191604004X
ID: 176154

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详细

Reasons for the substantial differences of historical and theoretical futures prices on RTS and MICEX indices are investigated. A model is proposed that considers the observed differences for the modeling of futures prices within the risk assessment of a portfolio of derivatives using the Monte Carlo method.