Pricing commodity index options

被引：0

作者：

Pedro Manzano-Herrero, Alberto ^{[1
]}

Nastasi, Emanuele ^{[2
]}

Pallavicini, Andrea ^{[3
]}

Vazquez, Carlos ^{[1
]}

机构：

[1] Univ A Coru Na, Dept Math, La Coruna, Spain

[2] SwissQuant Grp AG, Zurich, Switzerland

[3] Intesa SanPaolo Milan, Milan, Italy

来源：

QUANTITATIVE FINANCE | 2023年 / 23卷 / 02期

关键词：

Commodity futures; Commodity indices; Option pricing; Stochastic local volatility; Markov projections; STOCHASTIC VOLATILITY; GLOBAL OPTIMIZATION;

D O I：

10.1080/14697688.2022.2138775

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We present a stochastic local volatility model for derivative contracts on commodity futures. The aim of the model is to recover the prices of derivative claims both on future contracts and on indices on future strategies. Numerical examples for calibration and pricing are provided for the S&P GSCI Crude Oil excess-return index.

引用

页码：297 / 308

页数：12

共 24 条

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