Pricing commodity index options

Alberto Pedro Manzano-Herrero,Emanuele Nastasi,Andrea Pallavicini,Carlos Vazquez

arXiv (Cornell University)（2023）

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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.

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关键词

Commodity futures,Commodity indices,Option pricing,Stochastic local volatility,Markov projections

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