stochastic/Probabilistic/fuzzy/dynamic modeling
Mehdi Khajezadeh Dezfoli; Mansour Momeni; Hanan Amoozad Mahdirji; Mohammad Hosein Pourkazemi
Abstract
Purpose: The main theory governing the valuation of futures contracts is the Storage Theory, in which the concept of Convenience Yield is the most important factor involved in contract pricing. Convenience Yield is a factor that complicates the process of valuing futures contracts. Trying to determine ...
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Purpose: The main theory governing the valuation of futures contracts is the Storage Theory, in which the concept of Convenience Yield is the most important factor involved in contract pricing. Convenience Yield is a factor that complicates the process of valuing futures contracts. Trying to determine the best trading position in futures contracts with different underlying assets and with different maturities is the goal of this article. In this article, using the theory of storage and the concept of welfare fruits and using the method of dynamic random control, a model for selecting the optimal trading position in futures contracts of consumer goods in both single and double goods is presented.Methodology: In this article, the theory of storage and the concept of Convenience Yield are used. Also, by using the dynamic stochastic control method, a model for choosing the optimal trading position in the futures contracts of consumer goods is expressed in two modes of single commodity and dual commodity.Findings: The results of the implementation of the model in the Iranian Commodity Exchange market show that the model in the single commodity mode has been able to fully identify the correct trading position and in the two commodity mode has been 91.7% successful.Originality/Value: Presenting a model to determine the optimal trading position based on Storage Theory and the existence of two stochastic factors of Convenience Yield and stock price using dynamic stochastic control method in single and multi-commodity mode in a specific investment horizon on consumer goods is the most important innovation.