Pricing commodity index options

Alberto Manzano, Emanuele Nastasi, Andrea Pallavicini and Carlos V\'azquez

Papers from arXiv.org

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.

Date: 2022-08
New Economics Papers: this item is included in nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2208.01289

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