Email this article Modeling futures price dynamics on the RTS and MICEX indices
- Authors: Golembiovsky D.Y.1, Denisov D.V.1, Petrovykh A.S.1
-
Affiliations:
- Faculty of Computational Mathematics and Cybernetics
- Issue: Vol 40, No 4 (2016)
- Pages: 171-178
- Section: Article
- URL: https://journals.rcsi.science/0278-6419/article/view/176154
- DOI: https://doi.org/10.3103/S027864191604004X
- ID: 176154
Cite item
Open Access
Access granted
Subscription Access
Abstract
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.
About the authors
D. Yu. Golembiovsky
Faculty of Computational Mathematics and Cybernetics
Author for correspondence.
Email: golemb@cs.msu.su
Russian Federation, Moscow, 119991
D. V. Denisov
Faculty of Computational Mathematics and Cybernetics
Email: golemb@cs.msu.su
Russian Federation, Moscow, 119991
A. S. Petrovykh
Faculty of Computational Mathematics and Cybernetics
Email: golemb@cs.msu.su
Russian Federation, Moscow, 119991
Supplementary files
