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Original Articles

The distribution of futures prices: diffusion-jump versus generalized beta-2

Pages 303-305 | Published online: 05 Oct 2010
 

Abstract

Which of two distributions, the diffusion-jump process or the generalized beta-2 distribution, is superior in approximating the actual distribution of futures prices? The parameters of the distributions were estimated using the futures prices of four highly diverse commodities: British pound, corn, gold, and live cattle. The results suggest that the generalized beta-2 distribution is superior to the diffusion-jump.

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