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A new technique to estimate the risk neutral processes in jump–diffusion commodity futures models

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Table 1: Summary of the statistics on the natural gas spot price and its first differences, January 2004-December 2014.
Figure 1: Daily natural gas spot price and its first differences from January 2004 to April 2015.
Table 2: Measures of error: MAE, RMSE and PRMSE, for the out of sample period of time, January 2015-April 2015, with the diffusion and jump-diffusion model.
Figure 2: Natural gas futures prices (January 2015-April 2015) with maturities: 12, 24, 36 and 44 months

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