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- W3122313752 abstract "Many commodity markets contain a strong seasonal component in volatility. In this paper, the importance of this seasonal behavior for the pricing of commodity options is analyzed. We propose a stochastic volatility model where the drift term of the variance process captures the observed seasonal pattern in volatility. This framework allows us to derive semi-closed-form pricing formulas for the valuation of options on commodity futures. In the main part of the paper, we empirically study the impact of the proposed seasonal stochastic volatility model on the pricing accuracy of natural gas futures options traded at the New York Mercantile Exchange (NYMEX). Our results demonstrate that allowing stochastic volatility to fluctuate seasonally significantly reduces pricing errors for these contracts." @default.
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- W3122313752 date "2011-06-01" @default.
- W3122313752 modified "2023-09-27" @default.
- W3122313752 title "Seasonal Stochastic Volatility: Implications for the Pricing of Commodity Options" @default.
- W3122313752 hasPublicationYear "2011" @default.
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