Pricing average options on commodities

Kenichiro Shiraya · Akihiko Takahashi

31 citations0/0 files storedJournal of Futures Markets

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Stochastic processes and financial applications Financial Risk and Volatility Modeling Market Dynamics and Volatility

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

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 31 citations exist upstream.

References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 2009Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives 1987Analysis of Wiener Functionals (Malliavin Calculus) and its Applications to Heat Kernels 2003Singular Perturbations in Option Pricing 1996Implied Trinomial Tress of the Volatility Smile 1999An Asymptotic Expansion Approach to Pricing Financial Contingent Claims 1992Asymptotic expansions of maximum likelihood estimators for small diffusions via the theory of Malliavin-Watanabe 2003On validity of the asymptotic expansion approach in contingent claim analysis

Cited by

2015Asymptotic Expansion Approach in Finance 2014On Error Estimates for Asymptotic Expansions with Malliavin Weights: Application to Stochastic Volatility Model

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.