Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

Options on crude oil futures are the most actively traded commodity options. We develop a class of computationally … efficient discrete-time jump models that allow for closed-form option valuation, and we use crude oil futures and options data … crucial for modeling crude oil futures and futures options, and we find evidence in favor of time-varying jump intensities …

returns are negative at short maturities, more so for OTM options, and increase with maturity. Put returns are less negative … energy futures is priced in the raw option returns. Moneyness patterns in raw and delta-hedged returns are similar to … lower the returns on call options, which suggests that demand from speculators may affect option returns in energy markets …