Pricing commodity index options

Published 2 Aug 2022 in q-fin.PR and q-fin.CP | (2208.01289v1)

Abstract: 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.

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