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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 the S&P GSCI Crude Oil excess-return index.

preprint2022arXivOpen access
Alberto ManzanoEmanuele NastasiAndrea PallaviciniCarlos Vázquez
q-fin.CPq-fin.PR
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Open access4 authors2 topics
Imported metadata coverageMissing code, dataset, citation and institution fields are tracked without dominating the paper.Details
Citations: 0Reviews: 0Saves: 0Code: not linkedDataset: not linkedInstitutions: 0

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Alberto ManzanoEmanuele NastasiAndrea PallaviciniCarlos Vázquez

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