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September 10, 2025Journal of statistics and actuarial research.

A Comparison of Prices Generated by The Derivative Commodity Model (Ornstein-Uhlenbeck Process) With Those Obtained by The Conventional Arbitrage-Free Method of Pricing Forward Derivatives with Respect to Tea in Nduti Tea Factory Kenya.

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Authors

PMPatrick MUMU

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Overview

Descriptive research analyzes price differences from the derivative commodity model and arbitrage-free method, indicating market impacts.

Key Points

  • Significant variations were found between prices generated by the derivative commodity model and arbitrage-free pricing.
  • The analysis used prices from 318 auction days spanning over 6 selected working days within a specific timeframe.
  • Data was sourced from Nduti Tea Factory and processed applying the Ornstein-Uhlenbeck process for analysis.
  • Findings highlight the importance of protecting farmers from price volatility, benefiting both producers and consumers.

Cite This Study

Patrick MUMU (2016) studied this question.

synapsesocial.com/papers/68c1e17854b1d3bfb60febb4https://doi.org/10.47604/jsar.86
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