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Title:

Pricing of Derivatives on Commodity Indices

Document type:
Zeitschriftenaufsatz
Author(s):
Krayzler, M.; Rauch, J.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
national
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
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