"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.

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Year of publication:	2009-10
Authors:	Shiraya, Kenichiro ; Takahashi, Akihiko
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

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Series:	CIRJE F-Series.
Type of publication:	Book / Working Paper
Notes:	Number CIRJE-F-681 28 pages longages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008520686