Pricing commodity index options

Alberto Pedro Manzano-Herrero, Emanuele Nastasi, Andrea Pallavicini and Carlos Vázquez

Quantitative Finance, 2023, vol. 23, issue 2, 297-308

Abstract: 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.

Date: 2023
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DOI: 10.1080/14697688.2022.2138775

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