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Pricing commodity index options

Author
Alberto Manzano, Emanuele Nastasi, Andrea Pallavicini, Carlos Vázquez
Date Updated
2022/08/02
Category
q-fin.PR
Date Published
2022/08/02
Date Retrieved
2022/08/03
Description
We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to be able to recover the prices of derivative claims both on futures contracts and on indices on futures strategies. Numerical examples for calibration and pricing are provided for the S&P GSCI Crude Oil excess-return index.
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URL
https://arxiv.org/abs/2208.01289
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