๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

Pricing average options on commodities

โœ Scribed by Kenichiro Shiraya; Akihiko Takahashi

Publisher
John Wiley and Sons
Year
2010
Tongue
English
Weight
204 KB
Volume
31
Category
Article
ISSN
0270-7314

No coin nor oath required. For personal study only.

โœฆ Synopsis

This study proposes a new approximation formula for pricing average options on commodities under a stochastic volatility environment. In particular, it derives an option pricing formula under Heston and an extended l-SABR stochastic volatility models (which includes an extended SABR model as a special case). Moreover, numerical examples support the accuracy of the proposed average option pricing formula.

๐Ÿ“œ SIMILAR VOLUMES

Pricing of moving-average-type options w
Pricing of moving-average-type options with applications
โœ Chih-Hao Kao; Yuh-Dauh Lyuu ๐Ÿ“‚ Article ๐Ÿ“… 2003 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 200 KB

## Abstract Movingโ€averageโ€type options are complex pathโ€dependent derivatives whose payoff depends on the moving average of stock prices. This article concentrates on two such options traded in practice: the movingโ€averageโ€lookback option and the movingโ€averageโ€reset option. Both options were issu

Pricing options on realized variance
Pricing options on realized variance
โœ Peter Carr; Hรฉlyette Geman; Dilip B. Madan; Marc Yor ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› Springer-Verlag ๐ŸŒ English โš– 201 KB
Fundamentals of commodity options on fut
Fundamentals of commodity options on futures
โœ Avner Wolf ๐Ÿ“‚ Article ๐Ÿ“… 1982 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 916 KB

Fundamentals of Commodity Options on Futures Avner Wolf cademic research in commodity options is not as extensive as research on A stock options, partly because commodity exchange options are not traded in the US. Moreover, even research on London options which have traded for some time is far from