User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Krayzler, M.; Rauch, J.; Zagst, R. 
Non-TUM Co-author(s):
ja 
Cooperation:
national 
Title:
Pricing of Derivatives on Commodity Indices 
Abstract:
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. We introduce an innovative two step regression approach for model calibration and present theoretical insights on futures correlations. In an empirical case study we perform the pricing of call and barrie...    »
 
Intellectual Contribution:
Contribution to Practice 
Journal title:
International Review of Financial Analysis 
Year:
2013 
Journal volume:
29 
Pages contribution:
143 - 151 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
Commissioned:
not commissioned 
Professional Journal:
Nein 
versions