Pricing commodity index options
Pricing of Securities
2022-08-03 v1 Computational Finance
Abstract
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.
Cite
@article{arxiv.2208.01289,
title = {Pricing commodity index options},
author = {Alberto Manzano and Emanuele Nastasi and Andrea Pallavicini and Carlos Vázquez},
journal= {arXiv preprint arXiv:2208.01289},
year = {2022}
}
Comments
22 pages, 3 Figures