Abstract

VENEGAS MARTINEZ, Francisco  and  CRUZ AKE, Salvador. Productos derivados sobre bienes de consumo. EconoQuantum [online]. 2010, vol.6, n.2, pp.25-54. ISSN 2007-9869.

This paper develops a continuous-time general equilibrium model with rational expectations useful for the determination of prices of forward and future contracts, zero coupon bonds and European (calls and puts) options on consumption goods. To reach this end, the model considers a representative individual in an economy with two goods, which are produced by using stochastic technologies. Finally, the proposed model allows considering strategies aimed in obtaining speculative gains by using different derivative products.

Keywords : General equilibrium; stochastic optimal control; pricing derivatives on commodities.

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