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1 Introduction
Natural rubber is one of the most important agricultural products of Thailand. In fact,

Thailand is the world’s largest natural rubber export taking turns with Indonesia and Vietnam

(Workman, 2015). Rubber plantations are originally most planted in the southern of Thailand.

However, they are wildly planted across the country since 1961 according to the government

promoting through special policies and programs. The rubber smallholders collect the rubber

latex and either sell the latex or rubber sheets to the agents or companies.

The behavior of rubber price is of interest because rubber is one of the important
commodities product of Thailand. Since the movement of the natural rubber price is similar to

the stock price it is interesting to study its behavior. There are many models in economics and

finance that can describe the behavior of the stock price. The continuous model is wildly used

for describing the behavior of asset prices which are assumed to be continuous. In this case the

model is driven by Brownian motion with constants drift and volatility. However, a shortcoming

of this model is that it does not consider the random jumps which can occur any time. The

model with jumps is supposed to improve the continuous model in describing the price with

jumps. In other word, it is assumed that the behavior of asset prices are not purely continuous.
There are many researches which studied the results given by the continuous model (Black and

Scholes, 1973; Klein, 1996; Khaled and Samia, 2010) and the model with jumps (Merton, 1976;

Kou, 2002; Maekawa et al., 2008; Gondal, 2011; Yan, 2011; El-Khatib and Al-Mdallal, 2012).

However, Maekawa and his research team (Maekawa et al., 2008) compared the results between

the continuous model and the model with jumps (Kou, 1996) which both models applied with

Japanese stock market. The result has shown that the model with jumps outperforms the

continuous model. Neupane and Calkins (Neupane and Calkins, 2013) studied the statistical

models to capture price volatility of latex type RSS3 in Thailand for the period 2004-2011 where
the daily price of latex type RSS3 was modeled by GARCH, GARCH-GJR and EGARCH models. The

results showed that the price volatility of RSS3 is strongly persistent and the estimated results

are statistically valid. The pricing model for such a jump diffusion model does not have a closed

form formula since the market is incomplete (El-Khatib and Al-Mdallal, 2012).