Pricing commodity index options

DOI10.1080/14697688.2022.2138775zbMath1518.91286arXiv2208.01289MaRDI QIDQ6158400

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Publication date: 20 June 2023

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2208.01289

zbMATH Keywords

option pricingcommodity futuresMarkov projectionsstochastic local volatilitycommodity indices

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Differential evolution -- a simple and efficient heuristic for global optimization over continuous spaces
• Parallel two-phase methods for global optimization on GPU
• A new calibration of the Heston stochastic local volatility model and its parallel implementation on GPUs
• SMILE MODELING IN COMMODITY MARKETS
• A comparison of biased simulation schemes for stochastic volatility models
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• A hybrid commodity and interest rate market model
• A Simplex Method for Function Minimization

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