Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

• 成果类型: Article
• 署名作者: Trolle, Anders B.; Schwartz, Eduardo S.
• 署名单位: Copenhagen Business School; Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; University of California System; University of California Los Angeles; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp036
• 发表日期: 2009
• 页码: 4423
• 关键词: CURRENCY OPTIONS; interest-rates; Convenience yields; Contingent claims; JUMP-DIFFUSIONS; term structure; futures; DYNAMICS; prices; models

摘要

Commodity derivatives are becoming an increasingly important part of the global derivatives market. Here we develop a tractable stochastic volatility model for pricing commodity derivatives. The model features unspanned stochastic volatility, quasi-analytical prices of options on futures contracts, and dynamics of the futures curve in terms of a low-dimensional affine state vector. We estimate the model on NYMEX crude oil derivatives using an extensive panel data set of 45,517 futures prices and 233,104 option prices, spanning 4082 business days. We find strong evidence for two predominantly unspanned volatility factors. (JEL G13)