Pricing commodity index options

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...

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Bibliographic Details
Published in:arXiv.org 2022-08
Main Authors: Manzano, Alberto, Nastasi, Emanuele, Pallavicini, Andrea, Vázquez, Carlos
Format: Article
Language:English
Subjects:
Commodities
Contracts
Pricing
Online Access:Get full text
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Summary: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.
ISSN:2331-8422