论文标题
定价商品指数选项
Pricing commodity index options
论文作者
论文摘要
我们为商品期货的衍生合同提供了随机的本地波动率模型。该模型的目的是能够在期货合约和期货策略指数上恢复衍生性索赔的价格。标准普尔GSCI原油过量返回指数提供了用于校准和定价的数值示例。
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.
