Rauch, Johannes; Krayzler, Mikhail; Brunner, Bernhard; … - In: International Review of Financial Analysis 29 (2013) C, pp. 143-151
This paper introduces a novel method for pricing commodity index derivatives consistently with market prices of derivatives on single commodities. We discuss the Black, mean-reversion and local volatility pricing models with special attention paid to the parameterization of volatility surfaces....
