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zbMATH Open
Article . 2020
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SSRN Electronic Journal
Article . 2018 . Peer-reviewed
Data sources: Crossref
https://dx.doi.org/10.48550/ar...
Article . 2018
License: arXiv Non-Exclusive Distribution
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Smile Modelling in Commodity Markets

Smile modeling in commodity markets
Authors: EMANUELE NASTASI; ANDREA PALLAVICINI; GIULIO SARTORELLI;

Smile Modelling in Commodity Markets

Abstract

We present a stochastic local volatility model for derivative contracts on commodity futures able to describe forward curve and smile dynamics with a fast calibration to liquid market quotes. A parsimonious parametrization is introduced to deal with the limited number of options quoted in the market. Cleared commodity markets for futures and options are analyzed to include in the pricing framework-specific trading clauses and margining procedures. Numerical examples for calibration and pricing are provided for different commodity products.

Related Organizations
Keywords

local volatility, collaterals, Computational Finance (q-fin.CP), FOS: Economics and business, Quantitative Finance - Computational Finance, Derivative securities (option pricing, hedging, etc.), 65C05, 91G20, 91G60, Pricing of Securities (q-fin.PR), commodity, stochastic volatility, option pricing, Quantitative Finance - Pricing of Securities, margining procedures

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    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    7
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    Top 10%
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    Average
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
7
Top 10%
Average
Average
Green
bronze