Rough volatility dynamics in commodity markets
Pricing of Securities
2026-03-30 v1 Computational Finance
Abstract
In this paper, we develop a general rough volatility model for commodities that provides an automatic calibration of the initial term structure of the futures prices and an appropriate treatment of the Samuelson effect. After the theoretical analysis of this general model, we focus on the rBergomi and rHeston models and their calibration to market data of vanilla futures options on WTI Crude Oil. Finally, numerical results illustrate the performance of the proposed rough volatility models for commodities pricing.
Keywords
Cite
@article{arxiv.2603.26514,
title = {Rough volatility dynamics in commodity markets},
author = {Roberto Daluiso and Héctor Folgar-Cameán and Andrea Pallavicini and Carlos Vázquez},
journal= {arXiv preprint arXiv:2603.26514},
year = {2026}
}