seasonal stochastic volatility and correlation together with ......•corn - futures •corn -...
TRANSCRIPT
EMLYON Quant 12 Workshop 1 / 38
Seasonal Stochastic Volatility and Correlation together with theSamuelson Effect in Commodity Futures Markets
Lorenz Schneider
EMLYON Business School
Bertrand Tavin
EMLYON Business School
26-27 November 2015, Lyon
Introduction
Introduction
• Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 2 / 38
Introduction
Introduction
• Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 3 / 38
• Recently, several volatility indices for agricultural markets have
been introduced on the Chicago Board Options Exchange
(CBOE):
• in 2011, the Corn Volatility Index (CIV) and Soybean Volatility
Index (SIV);• and in 2012, the Wheat Volatility Index (WIV).
• Modelling stochastic volatility allows to calibrate to option volatility
smiles and skews typically seen in futures option markets.
• A good model should also account for the Samuelson effect that
the volatility of nearby futures prices is higher than that offar-away futures prices.
Introduction
Introduction
• Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 4 / 38
In this presentation, we will:
• Show and discuss some agricultural market data;
• introduce a seasonal stochastic volatility model;• discuss various seasonality functions;
• show that the model can be fitted very well to the market;
• discuss the pricing of calendar spread options;
• give evidence of the influence of seasonality on prices and
implied correlations of such options.
Market Data
Introduction
Market Data• Wheat - VolatilitySurface• Corn - VolatilitySurface• Soybean - VolatilitySurface• Raw Sugar - VolatilitySurface
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 5 / 38
Wheat - Volatility Surface
Introduction
Market Data• Wheat - VolatilitySurface• Corn - VolatilitySurface• Soybean - VolatilitySurface• Raw Sugar - VolatilitySurface
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 6 / 38
Corn - Volatility Surface
Introduction
Market Data• Wheat - VolatilitySurface• Corn - VolatilitySurface• Soybean - VolatilitySurface• Raw Sugar - VolatilitySurface
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 7 / 38
Soybean - Volatility Surface
Introduction
Market Data• Wheat - VolatilitySurface• Corn - VolatilitySurface• Soybean - VolatilitySurface• Raw Sugar - VolatilitySurface
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 8 / 38
Raw Sugar - Volatility Surface
Introduction
Market Data• Wheat - VolatilitySurface• Corn - VolatilitySurface• Soybean - VolatilitySurface• Raw Sugar - VolatilitySurface
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 9 / 38
Seasonal Stochastic VolatilityModel
Introduction
Market Data
Seasonal StochasticVolatility Model
• A SeasonalStochastic VolatilityModel• The SeasonalityFunction• The SeasonalityFunction• Examples ofSeasonality Functions
• The JointCharacteristic Function• The Transform of theSeasonality Function
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 10 / 38
A Seasonal Stochastic Volatility Model
EMLYON Quant 12 Workshop 11 / 38
The futures price F (t, Tm) at time t, t ≤ Tm, follows the SDE
dF (t, Tm) = F (t, Tm)n∑
j=1
e−λj(Tm−t)√
vj(t)dBj(t),
F (0, Tm) = Fm,0.
The processes vj , j = 1, ..., n, are CIR/Heston square-root stochastic
variance processes
dvj(t) = κj (θj(t)− vj(t)) dt+ σj
√
vj(t)dBn+j(t),
vj(0) = vj,0.
with time-dependent, deterministic mean-reversion levels θj(t).We assume
〈dBj(t), dBn+j(t)〉 = ρjdt,
and that otherwise the Brownian motions are independent of each other.
The Seasonality Function
EMLYON Quant 12 Workshop 12 / 38
We want to include discontinuous seasonality functions in our framework:
• Let T = {ti, i = 1, ...} be a set of times having only finitely many points inevery bounded interval.
• Let Z = {0 ≤ t1 < t2 < ... < ti < ...} be the partition of R+0 defined by
T .
• Let the seasonality function θ : R+0 → R
+ be piecewise continuous with
respect to Z .
• Assume that it is bounded from below and above by positive constants θmin
and θmax.
The Seasonality Function
EMLYON Quant 12 Workshop 13 / 38
We compare two processes v (seasonal) and v (non-seasonal), which are
given by the SDEs
dv(t) = κ (θ(t)− v(t)) dt+ σ√
v(t)dB(t), (1)
dv(t) = κ (θmin − v(t)) dt+ σ√
v(t)dB(t), (2)
with identical parameters κ > 0, σ > 0 and initial conditions
0 < v(0) = v0 ≤ v(0) = v0.
The Seasonality Function
EMLYON Quant 12 Workshop 14 / 38
It is well known that (2) has a unique strong solution. The following result
describes the solution to (1).
Proposition 1 Assume that the seasonality function θ is piecewise continuous
w.r.t. the partition Z of R+0 , and bounded by positive constants θmin and
θmax, i.e. for all t ≥ 0, 0 < θmin ≤ θ(t) ≤ θmax. Let the processes v and v
be given by (1) and (2), respectively. Then:
1. The process (1) has a unique strong solution with continuous sample
paths.
2. P [vt ≤ vt, ∀t ≥ 0] = 1.
3. If the Feller condition σ2 < 2κθmin is satisfied for θmin, then the processv is strictly positive.
Examples of Seasonality Functions
Introduction
Market Data
Seasonal StochasticVolatility Model
• A SeasonalStochastic VolatilityModel• The SeasonalityFunction• The SeasonalityFunction• Examples ofSeasonality Functions
• The JointCharacteristic Function• The Transform of theSeasonality Function
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 15 / 38
• Sinusoidal pattern, with a, b > 0 and t0 ∈ [0, 1[:
θ(t) = a+ b cos (2πω (t− t0)).
• Exponential-sinusoidal pattern, with a, b > 0 and t0 ∈ [0, 1[:
θ(t) = a exp (b cos (2πω (t− t0))).
A similar parametric form is used in [1].
• Sawtooth pattern, with a, b > 0 and t0 ∈ [0, 1[:
θ(t) = a+ b (t− t0 − ⌊t− t0⌋) .
This is an example of a discontinuous seasonality function.
Examples of Seasonality Functions
Introduction
Market Data
Seasonal StochasticVolatility Model
• A SeasonalStochastic VolatilityModel• The SeasonalityFunction• The SeasonalityFunction• Examples ofSeasonality Functions
• The JointCharacteristic Function• The Transform of theSeasonality Function
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 16 / 38
• Triangle pattern, with a, b > 0 and t0 ∈ [0, 1[:
θ(t) = a+ b
∣
∣
∣
∣
1
2− (t− t0 − ⌊t− t0⌋)
∣
∣
∣
∣
.
• Spiked pattern, with a, b > 0 and t0 ∈ [0, 1[:
θ(t) = a+ b
(
2
1 + |sin(π(t− t0))|− 1
)2
.
This parametric form is applied to electricity markets in [3] tomodel the time varying intensity of a jump process.
The Joint Characteristic Function
EMLYON Quant 12 Workshop 17 / 38
Proposition 2 The joint characteristic function φ at time T ≤ T1, T2 for the
log-returns X1(T ), X2(T ) of two futures contracts with maturities T1, T2 isgiven by
φ(u) =n∏
j=1
exp
(
−iρj
σjfj,1(u, 0)
(
vj(0) + κj θj,T
)
)
· exp (Aj(0, T )vj(0) +Bj(0, T )) ,
with
fj,1(u, t) =2
∑
k=1
uke−λj(Tk−t), fj,2(u, t) =
2∑
k=1
uke−2λj(Tk−t),
qj(u, t) = iρjκj − λj
σjfj,1(u, t)−
1
2(1− ρ2j )f
2j,1(u, t)−
1
2ifj,2(u, t),
θj,T =
∫ T
0θj(t)e
λjtdt.
The Joint Characteristic Function
EMLYON Quant 12 Workshop 18 / 38
The functions Aj : (t, T ) 7→ Aj(t, T ) and Bj : (t, T ) 7→ Bj(t, T ) satisfy the
two differential equations
∂Aj
∂t− κjAj +
1
2σ2jA
2j + qj = 0
∂Bj
∂t+ κjθj(t)Aj = 0
with conditions
Aj(T, T ) = iρj
σjfj,1(u, T )
Bj(T, T ) = 0
Note that only the differential equation for Bj , but not the one for Aj , depends
on the seasonality function θj . We give closed-form expressions for the
functions Aj in terms of Kummer functions in [5].
The Transform of the Seasonality Function
Introduction
Market Data
Seasonal StochasticVolatility Model
• A SeasonalStochastic VolatilityModel• The SeasonalityFunction• The SeasonalityFunction• Examples ofSeasonality Functions
• The JointCharacteristic Function• The Transform of theSeasonality Function
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 19 / 38
• The integrals
θj,T =
∫ T
0θj(t)e
λjtdt
only depend on the specification of the seasonality functions θjand the maturity T .
• Therefore, their value can be calculated once and then stored,
avoiding recalculations during repeated calls to the characteristic
function.
• We show in [6] how to calculate these integrals analytically for the
sinusoidal, sawtooth and triangle patterns.• If θ is a constant function, then the joint characteristic function
given above is the same as the non-seasonal one given in [5].
Calibration Results with theOne-Factor Model
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 20 / 38
The One-Factor Model (n = 1)
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 21 / 38
Futures and Variance processes:
dF (t, Tm)
F (t, Tm)= e−λ(Tm−t)
√
v(t)dB1(t)
dv(t) = κ (θ(t)− v(t)) dt+ σ√
v(t)dB2(t)
with correlation 〈dB1(t), dB2(t)〉 = ρdt.
Seasonality function:
θ(t) = a+ b cos(2πω(t− t0))
Wheat - Futures
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 22 / 38
0 0.2 0.4 0.6 0.8 1 1.2 1.4500
510
520
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600
T (years)
March 2015
Wheat - Volatility Term-Structure
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 23 / 38
0 0.2 0.4 0.6 0.8 1 1.2 1.40.16
0.18
0.2
0.22
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0.28
0.3
0.32
0.34
0.36
T (years)
March 2015
MarketModel
Corn - Futures
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 24 / 38
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8350
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T (years)
March 2015
Corn - Volatility Term-Structure
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 25 / 38
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6 1.8
0.15
0.2
0.25
0.3
0.35
T (years)
March 2015
MarketModel
Soybean - Futures
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 26 / 38
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6900
910
920
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T (years)
March 2015
Soybean - Volatility Term-Structure
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 27 / 38
0 0.2 0.4 0.6 0.8 1 1.2 1.4 1.6
0.1
0.12
0.14
0.16
0.18
0.2
0.22
0.24
0.26
T (years)
March 2015
MarketModel
Raw Sugar - Futures
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 28 / 38
0 0.5 1 1.5 2 2.52
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T (years)
March 2015
Raw Sugar - Volatility Term-Structure
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model• The One-FactorModel (n = 1)
• Wheat - Futures• Wheat - VolatilityTerm-Structure
• Corn - Futures• Corn - VolatilityTerm-Structure
• Soybean - Futures
• Soybean - VolatilityTerm-Structure
• Raw Sugar - Futures
• Raw Sugar - VolatilityTerm-Structure
Calendar SpreadOptions
Literature
EMLYON Quant 12 Workshop 29 / 38
0 0.5 1 1.5 2 2.50.05
0.1
0.15
0.2
0.25
0.3
0.35
0.4
T (years)
March 2015
MarketModel
Calendar Spread Options
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
• Calendar SpreadOptions (CSO)
• Pricing CSOs withCaldana and Fusai’sMethod• Comparing No, Weak,and Strong Seasonality
• Calendar SpreadOption Prices andSeasonality
• CorrelationTerm-Structure andSeasonality
Literature
EMLYON Quant 12 Workshop 30 / 38
Calendar Spread Options (CSO)
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
• Calendar SpreadOptions (CSO)
• Pricing CSOs withCaldana and Fusai’sMethod• Comparing No, Weak,and Strong Seasonality
• Calendar SpreadOption Prices andSeasonality
• CorrelationTerm-Structure andSeasonality
Literature
EMLYON Quant 12 Workshop 31 / 38
• Calendar spread options are popular options in commodities
markets.
• Corn, Soybean and Wheat CSOs are traded on the Chicago
Mercantile Exchange (CME).
• In February 2015 the Minneapolis Grain Exchange (MGX)introduced North American Hard Red Spring Wheat (HRSW)
CSOs for trade on the CME.
• CSOs in agricultural grain markets are studied in [4] with a joint
Heston model for the two underlying futures contracts. The
variance process has a constant mean-reversion level, andtherefore does not display seasonality.
• In the following, we show the effects volatility seasonality can
have on CSO prices.
Calendar Spread Options
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
• Calendar SpreadOptions (CSO)
• Pricing CSOs withCaldana and Fusai’sMethod• Comparing No, Weak,and Strong Seasonality
• Calendar SpreadOption Prices andSeasonality
• CorrelationTerm-Structure andSeasonality
Literature
EMLYON Quant 12 Workshop 32 / 38
• Let K (which is allowed to be negative) denote the strike of the
option.
• Payoff of a calendar spread call option CSC :
(F (T, T1)− F (T, T2)−K)+
= max (F (T, T1)− F (T, T2)−K, 0) ,
• Payoff of a calendar spread put option CSP :
(K − (F (T, T1)− F (T, T2)))+
= max (K − (F (T, T1)− F (T, T2)) , 0) .
• We use the 2-factor model together with Caldana and Fusai’smethod [2] to price these options.
Pricing CSOs with Caldana and Fusai’s Method
EMLYON Quant 12 Workshop 33 / 38
Let Φ(u) = exp(
i∑2
k=1 uk lnF (0, Tk))
· φ(u) be the joint c.f. of
lnF (T, T1) and lnF (T, T2). The price of a calendar spread option call with
maturity T and strike K is given as
CSC(K,T, T1, T2) =
(
e−δk−rT
π
∫ +∞
0e−iγkΨ(γ; δ, α)dγ
)+
,
where
Ψ(γ; δ, α) =ei(γ−iδ) ln(Φ(0,−iα))
i(γ − iδ)· [Φ ((γ − iδ)− i,−α(γ − iδ))
− Φ(γ − iδ,−α(γ − iδ)− i)−KΦ(γ − iδ,−α(γ − iδ))],
α =F (0, T2)
F (0, T2) +K, k = ln(F (0, T2) +K).
The parameter δ controls an exponential decay term.
Comparing No, Weak, and Strong Seasonality
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
• Calendar SpreadOptions (CSO)
• Pricing CSOs withCaldana and Fusai’sMethod• Comparing No, Weak,and Strong Seasonality
• Calendar SpreadOption Prices andSeasonality
• CorrelationTerm-Structure andSeasonality
Literature
EMLYON Quant 12 Workshop 34 / 38
θj(t) = aj + bj cos(2πωj(t− t0j)), j = 1, 2
parameter Case 1 Case 2 Case 3
v01 0.10 0.10 0.10v02 0.04 0.04 0.04λ1 2.00 2.00 2.00λ2 0.50 0.50 0.50κ1 0.80 0.80 0.80κ2 0.80 0.80 0.80σ1 1.20 1.20 1.20σ2 0.90 0.90 0.90ρ1 −0.25 −0.25 −0.25ρ2 −0.25 −0.25 −0.25a1 0.25 0.25 0.25a2 0.10 0.10 0.10b1 0.00 0.15 0.35b2 0.00 0.00 0.00t01 7/12 7/12 7/12t02 7/12 7/12 7/12
Calendar Spread Option Prices and Seasonality
EMLYON Quant 12 Workshop 35 / 38
Case 1: no seasonality Case 2: moderate seasonality Case 3: strong seasonality
T = T1 T2 K = 0 K = 10 K = 0 K = 10 K = 0 K = 10
0.33 0.83 2.5993 0.4951 3.0931 0.6822 3.4190 0.83510.58 1.08 3.4672 0.9188 3.7314 1.1026 3.9252 1.24000.83 1.33 4.5229 1.6366 4.3690 1.5636 4.2429 1.51201.08 1.58 4.6534 1.8404 4.5533 1.7709 4.4773 1.71871.33 1.83 4.1480 1.6234 4.4534 1.7695 4.6612 1.88431.58 2.08 4.4875 1.7783 4.6726 1.9165 4.8091 2.01971.83 2.33 5.2374 2.3126 5.0666 2.2079 4.9289 2.13122.08 2.58 5.2422 2.3840 5.1193 2.2922 5.0262 2.22332.33 2.83 4.6788 2.0671 4.9321 2.1982 5.1052 2.29922.58 3.08 4.8929 2.1509 5.0521 2.2717 5.1692 2.36172.83 3.33 5.5345 2.6146 5.3604 2.4988 5.2210 2.4132
The CSOs in this example are all for six months, i.e. T2 − T1 is half a year.Note that seasonality can lead to increasing or decreasing prices.
Correlation Term-Structure and Seasonality
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
• Calendar SpreadOptions (CSO)
• Pricing CSOs withCaldana and Fusai’sMethod• Comparing No, Weak,and Strong Seasonality
• Calendar SpreadOption Prices andSeasonality
• CorrelationTerm-Structure andSeasonality
Literature
EMLYON Quant 12 Workshop 36 / 38
This effect can also be seen in the change in implied correlations
calculated from CSO prices. Case 1: no seasonality, Case 2:
moderate seasonality, Case 3: strong seasonality.
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0.92
0.93
0.94
0.95
0.96
0.97
0.98
0.99
1
T
Literature
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
• Literature
EMLYON Quant 12 Workshop 37 / 38
Literature
Introduction
Market Data
Seasonal StochasticVolatility Model
Calibration Results withthe One-Factor Model
Calendar SpreadOptions
Literature
• Literature
EMLYON Quant 12 Workshop 38 / 38
[1] Janis Back, Marcel Prokopczuk, and Markus Rudolf. Seasonal stochasticvolatility: Implications for the pricing of commodity options. ICMA CentreDiscussion Papers in Finance, June 2011.
[2] Ruggero Caldana and Gianluca Fusai. A general closed-form spread optionpricing formula. Journal of Banking and Finance, 37(12):4893–4906, December2013.
[3] Helyette Geman and Andrea Roncoroni. Understanding the fine structure ofelectricity prices. Journal of Business, 79(3):1225–1261, 2006.
[4] Adam Schmitz, Zhiguang Wang, and Jung-Han Kimn. Pricing and hedgingcalendar spread options on agricultural grain commodities. In Proceedings ofthe NCCC-134 Conference on Applied Commodity Price Analysis, Forecasting,and Market Risk Management. St. Louis, MO, 2013.
[5] Lorenz Schneider and Bertrand Tavin. From the Samuelson volatility effect to aSamuelson correlation effect: An analysis of crude oil calendar spread options.Working Paper, available on ssrn, September 2015.
[6] Lorenz Schneider and Bertrand Tavin. Seasonal stochastic volatility andcorrelation together with the Samuelson effect in commodity futures markets.Working Paper, available on ssrn, June 2015.