"Pricing Average Options on Commodities"

This paper 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 lambda-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.

MoreLess

Year of publication:	2010-07
Authors:	Shiraya, Kenichiro ; Takahashi, Akihiko
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

More details

Extent:	application/pdf
Series:	CIRJE F-Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number CIRJE-F-747 30 pages longages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008520684