SMILE MODELING IN COMMODITY MARKETS

被引：8
|
作者：
Nastasi, Emanuele [1 ]
Pallavicini, Andrea [2 ]
Sartorelli, Giulio [3 ]
机构：
[1] Exprivia, Via Valtorta 43, I-20127 Milan, Italy
[2] Imperial Coll London, Dept Math, South Kensington Campus, London SW7 2AZ, England
[3] Banca IMI, Financial Engn, Largo Mattioli 3, I-20121 Milan, Italy
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2020年 / 23卷 / 03期
关键词：
Commodity; option pricing; margining procedures; collaterals; local volatility; stochastic volatility;
D O I：
10.1142/S0219024920500193
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We present a stochastic local volatility model for derivative contracts on commodity futures able to describe forward curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the market. Cleared commodity markets for futures and options are analyzed to include in the pricing framework-specific trading clauses and margining procedures. Numerical examples for calibration and pricing are provided for different commodity products.
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页数：28
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