SMILE MODELING IN COMMODITY MARKETS

2020 ◽  
Vol 23 (03) ◽  
pp. 2050019 ◽  
Author(s):  
EMANUELE NASTASI ◽  
ANDREA PALLAVICINI ◽  
GIULIO SARTORELLI
Keyword(s):  
Commodity Markets ◽  
Commodity Futures ◽  
Local Volatility ◽  
Numerical Examples ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Futures And Options ◽  
Pricing Framework ◽  
Stochastic Local Volatility

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.

A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs

2020 ◽  
Vol 177 ◽  
pp. 467-486
Author(s):  
Ana María Ferreiro-Ferreiro ◽  
José A. García-Rodríguez ◽  
Luis Souto ◽  
Carlos Vázquez
Keyword(s):  
Parallel Implementation ◽  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stochastic Local Volatility

Calibrating and Pricing with a Stochastic-Local Volatility Model

2015 ◽  
Vol 22 (3) ◽  
pp. 21-39 ◽  
Author(s):  
Yu Tian ◽  
Zili Zhu ◽  
Geoffrey Lee ◽  
Fima Klebaner ◽  
Kais Hamza
Keyword(s):  
Local Volatility ◽  
Local Volatility Model ◽  
Volatility Model ◽  
Stochastic Local Volatility
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