Smile Modeling In Commodity Markets
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DOI: 10.1142/S0219024920500193
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- Emanuele Nastasi & Andrea Pallavicini & Giulio Sartorelli, 2018. "Smile Modelling in Commodity Markets," Papers 1808.09685, arXiv.org, revised Jan 2020.
References listed on IDEAS
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Cited by:
- Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2021.
"Capturing the power options smile by an additive two-factor model for overlapping futures prices,"
Energy Economics, Elsevier, vol. 95(C).
- Marco Piccirilli & Maren Diane Schmeck & Tiziano Vargiolu, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Papers 1910.01044, arXiv.org.
- Piccirilli, Marco & Schmeck, Maren Diane & Vargiolu, Tiziano, 2019. "Capturing the power options smile by an additive two-factor model for overlapping futures prices," Center for Mathematical Economics Working Papers 625, Center for Mathematical Economics, Bielefeld University.
- Martino Grasselli & Andrea Mazzoran & Andrea Pallavicini, 2020. "A general framework for a joint calibration of VIX and VXX options," Papers 2012.08353, arXiv.org, revised Jun 2021.
- Orcan Ogetbil & Bernhard Hientzsch, 2022. "A Flexible Commodity Skew Model with Maturity Effects," Papers 2212.07972, arXiv.org.
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Keywords
Commodity; option pricing; margining procedures; collaterals; local volatility; stochastic volatility;All these keywords.
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