Pricing and calibration of the futures options market: A unified approximation

Autor:	Yingda Song, Xiaotong Lian
Rok vydání:	2021
Předmět:	Economics and Econometrics Markov chain Elasticity (data store) Variance (accounting) General Business Management and Accounting Dynamic programming Constant elasticity of variance model Accounting Economics Calibration Econometrics Constant (mathematics) Futures contract Finance
Zdroj:	Journal of Futures Markets. 41:1074-1091
ISSN:	1096-9934 0270-7314
Popis:	The constant elasticity of variance (CEV) model is widely used in modeling commodity futures prices, but it may not perform well in calibrating corresponding futures options. We consider two variations of the CEV model, that is, CEV with jumps and CEV with regime switching, and compare their performance in calibrating the Chinese futures options market. In particular, we propose a unified framework for pricing American futures options by combining the continuous‐time Markov chain approximation and the dynamic programming method. Results show that the inverse leverage effect in the soybean meal options market can be better described by the CEV regime‐switching model.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::81aa1df03150cc9f8e94da7d78cead7e https://doi.org/10.1002/fut.22206 Zobrazit plný text záznamu Plný text ve formátu PDF Plný text ve formátu HTML
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