The empirical study on variable models of coal price in China
ZOU Shao-hui
ZHANG Jin-suo
Abstract：Analyzed the evolution process of the coal price formation mechanism, adopted the data of the highest price of Datong quality mix coal in Qinhuangdao market from January 1994 to December 2008 and used unitd root tests and Monte-Carlo test to make the empirical study on variable models of coal price. The results show that in normal circumstances, Geometric Brownian motion can better fit the changing process of coal price and when abrupt events exist, risk neutral jump-diffusion process can better fit the changing tendency of coal price.
Keywords：coal priceMonte-Carlo testGeometric Brownian motionjump-diffusion process
Publication Date：2010-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：4( 525-528 )