Seasonal Stochastic Volatility: Implications for the pricing of commodity options

被引：28

作者：

Arismendi, Juan C. ^{[1
,5
]}

Back, Janis ^{[2
]}

Prokopczuk, Marcel ^{[3
,5
]}

Paschke, Raphael ^{[4
]}

Rudolf, Markus ^{[2
]}

机构：

[1] Univ Fed Bahia, Fac Econ, R Barao de Jeremoabo 668-1154, BR-40170115 Salvador, BA, Brazil

[2] WHU Otto Beisheim Sch Management, Dept Finance, D-56179 Vallendar, Germany

[3] Leibniz Univ Hannover, Sch Econ & Management, Koenigsworther Pl 1, D-30167 Hannover, Germany

[4] Boston Consulting Grp GmbH, Ludwigstr 21, D-80539 Munich, Germany

[5] Univ Reading, Henley Business Sch, 1CMA Ctr, Reading RG6 6BA, Berks, England

来源：

JOURNAL OF BANKING & FINANCE | 2016年 / 66卷

关键词：

Commodities; Seasonality; Stochastic volatility; Options pricing; Natural gas; Corn; AGRICULTURAL FUTURES; CONVENIENCE YIELD; CONTINGENT CLAIMS; INTEREST-RATES; MARKET PRICE; RISK PREMIA; VALUATION; MODELS; DYNAMICS; DETERMINANTS;

D O I：

10.1016/j.jbankfin.2016.02.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Many commodity markets contain a strong seasonal component not only at the price level, but also in volatility. In this paper, the importance of seasonal behavior in the volatility for the pricing of commodity options is analyzed. We propose a seasonally varying long-run mean variance process that is capable of capturing empirically observed patterns. Semi-closed-form option valuation formulas are derived. We then empirically study the impact of the proposed Seasonal Stochastic Volatility Model on the pricing accuracy of natural gas futures options traded at the New York Mercantile Exchange (NYMEX) and corn futures options traded at the Chicago Board of Trade (CBOT). Our results demonstrate that allowing stochastic volatility to fluctuate seasonally significantly reduces pricing errors for these contracts. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：53 / 65

页数：13

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