arXiv q-fin· Malthe Rauh Johansen, Nina Lange, David Skovmand·· 5 hr agoAI Score44
Arithmetic Models for Commodity Futures, Vanilla Options, and Calendar Spread Options
Arithmetic Models for Commodity Futures, Vanilla, and Calendar Spread Options
AI summary
The research team develops an arithmetic multi-factor stochastic volatility model applicable to commodity futures and options. This model generates a low-dimensional Markov representation of the futures curve, as well as semi-closed-form pricing formulas for vanilla options and basket options including calendar spread options, making it suitable for large-scale empirical estimation.
Source:arXiv q-fin · arxiv.org