paper
Pricing commodity swing options
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
Pricing commodity swing options
Roberto Daluiso, Emanuele Nastasi, Andrea Pallavicini, Giulio Sartorelli
Paper2020-01-24English
derivatives pricingarxiv
Description
In commodity and energy markets swing options allow the buyer to hedge against futures price fluctuations and to select its preferred delivery strategy within daily or periodic constraints, possibly fixed by observing quoted futures contracts. In this paper we focus on the natural gas market and we present a dynamical model for commodity futures prices able to calibrate liquid market quotes and to imply the volatility smile for futures contracts with different delivery periods. We implement the ...
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