Pricing average options on commodities
Year: 2010
Type: article
Abstract: This study 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 λ-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. © 2010 Wiley Periodicals, Inc. Jrl Fut Mark Mark 31:407–439, 2011
Source: Journal of Futures Markets
DOI: 10.1002/fut.20481
Authors: Kenichiro Shiraya, Akihiko Takahashi
Institutions: Mizuho (Japan), The University of Tokyo
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W2886095353