Oil futures volatility smiles in 2020: why the Bachelier smile is flatter

DOI10.1007/S11147-022-09185-ZMaRDI QIDQ2165396zbMATH OpenOpenAlexFDO

Authors Roza Galeeva, Ehud I. Ronn

Publication date 19 August 2022

Published in Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11147-022-09185-z

zbMATH Keywords

Bachelier vs. Black option modelsoil market volatility ``smile

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Valuation of options on oil futures under the 3/4 oil price model
• The pricing of derivatives on assets with quadratic volatility
• The bias in Black-Scholes/Black implied volatility: an analysis of equity and energy markets
• Smile modeling in commodity markets
• A bias in the volatility smile

Cites work

• High-frequency trading in a limit order book
• Louis Bachelier on the centenary of ``Théorie de la spéculation
• ON THE RELATIONSHIP BETWEEN THE CALL PRICE SURFACE AND THE IMPLIED VOLATILITY SURFACE CLOSE TO EXPIRY
• Parametric modeling of implied smile functions: a generalized SVI model
• Pricing and Hedging Spread Options
• The Logarithmic Mean

Cited in

(1)

• On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model

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