We propose a novel representation of commodity spot prices in which the cost-of-carry and the spot price volatility are … stochastic volatility, provides simple closed-form expressions of commodity futures, and yields analytic formulas of European … price volatility are needed to accurately fit the volatility surface of options on oil futures, highlighting the importance …

empirically analyze the behaviour of commodity prices and their volatility as predicted by the theory of storage. We examine two … price volatility is a decreasing function of inventory for the majority of commodities in our sample. This effect is more …

Volatility clustering, long-range dependence, non-Gaussianity and anomalous scaling are all well-known stylized facts …

This paper suggests a method of estimation of the implied volatility smile uncertainty of the observed options prices ….We consider the setting where both the implied volatility and the risk free rate are calculated jointly from the observed option … to uncertainty in the volatility surface.We estimate the size of implied volatility layers between the surfaces …

We analyse the dynamic behavior of conditional volatility in commodity markets using a novel, manually collected … dataset of daily price ranges over a time span of more than 140 years, which allows more precise daily volatility estimates … not adequate to capture the very distinct long-run and short-run dynamic volatility components. While the long memory …

This paper analyzes daily wheat price volatility over an observation period of more than 140 years, using daily high … and low prices of futures contracts traded at the Chicago Board of Trade (CBOT), starting in 1877. We find that volatility … differences between the identified regimes is much more important than volatility differences within the regimes, even when …

. The dynamics of the underlying BTC is well described by a stochastic volatility model but in pricing inverse options one … volatility with correlated jumps model is provided and comparison with simpler nested models both in in-sample and out …

Derivatives, especially equity and volatility options, contain valuable and oftentimes essential information for … estimating stochastic volatility models. Absent strong assumptions, their typically highly nonlinear pricing dependence on the … jointly accounts for stock returns as well as prices of equity and volatility options. Finally, we provide numerical results …