SMILE MODELING IN COMMODITY MARKETS

DOI10.1142/S0219024920500193zbMath1447.91180arXiv1808.09685OpenAlexW3031920620MaRDI QIDQ3304207

Giulio Sartorelli, Andrea Pallavicini, Emanuele Nastasi

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.09685

zbMATH Keywords

stochastic volatilityoption pricinglocal volatilitycollateralscommoditymargining procedures

Mathematics Subject Classification ID

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

Related Items (4)

ROUGH-HESTON LOCAL-VOLATILITY MODEL ⋮ Pricing commodity index options ⋮ Delta hedging bitcoin options with a smile ⋮ A deep learning model for gas storage optimization

Uses Software

• Anderson

Cites Work

• Unnamed Item
• Local volatility of volatility for the VIX market
• Mimicking the one-dimensional marginal distributions of processes having an Ito differential
• Linear credit risk models
• Forward equations for option prices in semimartingale models
• THE HESTON STOCHASTIC-LOCAL VOLATILITY MODEL: EFFICIENT MONTE CARLO SIMULATION
• Anderson Acceleration for Fixed-Point Iterations
• Asymptotics and calibration of local volatility models
• THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES
• DERIVATIVE PRICING WITH COLLATERALIZATION AND FX MARKET DISLOCATIONS
• A hybrid commodity and interest rate market model
• Counterparty Credit Risk, Collateral and Funding
• Iterative Procedures for Nonlinear Integral Equations

This page was built for publication: SMILE MODELING IN COMMODITY MARKETS