Valuing commodity options and futures options with changing economic conditions
详细信息 查看全文
- 作者：Kun Fana ; Yang Shenb ; skyshen87@gmail.com" class="auth_mail" title="E-mail the corresponding author ; Tak Kuen Siuc ; Rongming Wanga
- 关键词：Commodity options ; Futures options ; Regime-switching ; Gibson&ndash ; Schwartz two-factor model ; Fast Fourier transform
- 刊名：Economic Modelling
- 出版年：2015
- 出版时间：December 2015
- 年：2015
- 卷：51
- 期：Complete
- 页码：524-533
- 全文大小：839 K
文摘
- •
A regime-switching model for valuing a European-style commodity option and a futures option is discussed.
- •
A semi-analytical approach to valuing commodity options and futures options is adopted.
- •
A fast Fourier transform (FFT) approach is applied to evaluate the option prices.
- •
Real data studies and numerical examples are provided.