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Pricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process

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Figure

figure (1) – Filtered state variable (oil spot price) (futures price (F1) / one factor pricing model without jump
figure (2) – Filtered state variable (oil spot price) (futures price (F1) / one factor pricing model with exponential jump
figure (3) – Filtered state variable (oil spot price) () and the one month oil futures price (F1) / one factor pricing model with uniform jump

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