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- W3144098816 abstract "A joint model of commodity price and interest rate risk is constructed analogously to the multi-currency LIBOR Market Model (LMM). Going beyond a simple re-interpretation of the multi-currency LMM, issues arising in the application of the model to actual commodity market data are specifically addressed. Firstly, liquid market prices are only available for options on commodity futures, rather than forwards, thus the difference between forward and futures prices must be explicitly taken into account in the calibration. Secondly, we construct a procedure to achieve a consistent fit of the model to market data for interest options, commodity options and historically estimated correlations between interest rates and commodity prices. We illustrate the model by an application to real market data and derive pricing formulas for commodity spread options." @default.
- W3144098816 created "2021-04-13" @default.
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- W3144098816 date "2009-11-01" @default.
- W3144098816 modified "2023-09-26" @default.
- W3144098816 title "A Hybrid Commodity and Interest Rate" @default.
- W3144098816 hasPublicationYear "2009" @default.
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