In this paper we investigate the applicability of the asymptotic approach developed in Fouque et al. (2000) for pricing commodity futures options in a Schwartz (1997) multi factor model, featuring both stochastic convenience yield and stochastic volatility. We show that the zero order term in...

In this paper we investigate the applicability of the Albrecher et. al. (2005) comonotonicity approach in the context of various benchmark models for equities and commodities. Instead of classical Levy models as in Albrecher et. al. we focus on the Heston stochastic volatility model, the...