Explorations on the commodity futures pricing with unknown parameters: An expectation oriented approach

We proposed an expectation-oriented approach to deals with the futures pricing in the presence of incomplete information. The expectation model can be considered as a kind of consistent expectation based on widely accepted futures pricing model. Furthermore, we show that the expected pricing function can be verified directly from the observed data. The proposed approach can be considered as an extension of those existing no-arbitrage approaches. We take it as a first step in pricing commodity futures under unknown parameters.